If you are thinking about using interlocking blocks for your retaining wall then you are on the right track. There are 3 big reasons why this method is the best.
1 - Stability
Interlocking blocks provide the retaining wall with stability. If the wall is holding back dirt then you don't have to worry about it collapsing and making a mess. You can also rely on interlocking blocks if you live in an area where the weather isn't amazing. Through rain and snow and strong winds, the blocks will stand sturdy and allow the retaining wall to stay up and do it's job.
2 - Cost
Cost is another reason why you would want to use interlocking blocks for your retaining wall. Because you don't have to use mortar, both the cost of supplies will decrease and if you are paying people to help you with this job then you won't have to pay them for the extra labor.
3 - Appeal
The look of interlocking blocks gives the retaining wall a style of its own. It looks more natural when you have the blocks interlocking and and can choose which way you want them to go that fits your taste.
Overall this method is the best for any retaining wall project you are doing.