Good solid masonry shared walls are no problem at all. You get more noise etc from non-adjacent units with sound bouncing off other buildings. And the reverse, in terms of privacy. Not to mention vehicle traffic and general people sounds. And in my experience, above/below if the floors/ceilings are not constructed to a similar quality. They tend to be wood/plaster and it is something landlords skimp on maintaining; not upgrading the insulation, not keeping the floorboards nailed down.

Also have good fire containment properties. A friend of mine's bedroom sadly suffered a huge fire and every single thing they owned was completely incinerated. The building was heavy masonry construction with a quality firedoor which was closed at the time. So the rest of the apartment only had a bit of smoke damage and some water; they all kept living there. None of the other units in the building were affected at much if at all.