The layer height of a print effects its overall quality. A lower layer height requires more passes by the extruder, increasing the smoothness of the part at the cost of a much longer print time. In the render shown below you can see some of the effects of changing the layer height, such as a smoother surface on the left frogs due to a smaller height. More detailed information about this setting can be found HERE.

If you are using the part for rapid prototyping, larger layer heights can be used to speed up the printing process and get a rough version in your hands. If the part is for painting, or a display piece, it may be better to use a smaller layer height to smooth out the outer surface of the part.
A 3D printed part is made of three broad sections, the wall, which is a solid layer that encases the outside of your part, sort of like an eggshell, the infill, which is a geometric pattern used to give the insides of your part some rigidity, and the supports, which are disposable pieces that help to build overhangs.
Wall Thickness changes the outer shell thickness on your part. increasing this will increase your parts strength and impact resistance at the cost of time, weight and filament usage. This does not need to be changed from 0.4mm unless the part is being used under specific structural circumstances.
More information about wall thickness and layer height can be found HERE.

Infill Density Example, 20% on the left, 50% in the middle and 75% on the right
Infill density changes the spacing of filler used inside the part and can effect structural properties and print time significantly. Unless you have a clear understanding of how this setting effects your prints, 15% is a good standard. More information about how infill density effects your print can be found HERE.