The climbing wall is mentioned when Percy Jackson talks about his days after having found out he is a child of Poseidon. He says that Grover Underwood could quickly climb up to the top and that Percy barely made it up. His Camp Half-Blood t-shirt had smoking holes in it and the hairs on his forearms were singed off. He later says that he could climb to the top on the best level without getting burned.
The climbing wall is mentioned in Percy's report card at the back of the book. It features a grade for the climbing wall in which Percy had received an A and the comment from Chiron reads: "Percy excels at rock climbing. Perhaps it's because he does not enjoy falling in the lava below."
When Nico di Angelo first arrives at Camp Half-Blood, he notices the climbing wall and asks Percy about it. He also asks why there is lava pouring down from the top, to which Percy replies that it is just for a "little extra challenge."
It is said that Annabeth Chase had once fallen off the climbing wall.