Yep. If person A posts a message on person B's wall & you are friends with both of them, you'll be able to see it.

If you haven't already, check your privacy settings and make sure that everything is set to your satisfaction. I mainly just use facebook for CafeWorld and Farmville, but I was still really suprised to find that they had changed my default settings to 'everyone' & 'friend of friend' when the new changes were put in place.