Do two Minecraft blocks connected diagonally form an effective wall?
A diagonal wall is as good as a flat wall for most purposes, but there are a number of distance-based effects which may pass through a “zero width” barrier; they are for the most part not significant hazards.
Explosions' damage to entities (you, monsters, animals) is neither stopped nor reduced by any wall, diagonal or not. In principle, you can get closer to an explosion and still be on the other side of a wall if the wall has a diagonal corner, thus taking more damage. But short of elaborate player-made traps, this is unlikely to be a problem, as creepers will not target you across the wall (unless it is low enough to give a line of sight).
However, a very small amount of explosions' damage to blocks may pass through a diagonal corner. This is not likely to be an issue unless you're building obsidian blast walls.
If a mob is pressed against a corner, you may attack it from the other side; they are effectively larger for melee attacks or arrows than they are for their own motion with respect to blocks. I believe the same would be true of mobs' attacks against you, but they will consider the wall solid and will never attempt to attack you. (Another example of the same effect: you can attack a mob through doors or fences by firing arrows.)
Fire spreading. (This is not a problem as long as there are no burnable blocks on at least one side of the wall.) I am not sure whether this includes lava. (By the way, if by “lava sparks” you mean the flying smoking bits, they are not responsible for starting fires; they are purely a visual effect and their random occurrence is independent of fire.)
Grass spreading to dirt.
If a tree grows next to the wall, its leaves might appear on the other side.
Things which are not hazards:
In older Minecraft versions, water and lava could affect you through some orientations of diagonal corners; this is no longer the case.
Monster spawns will only occur definitely on one side or the other of the wall, and dependent on the light level on each side. It is perfectly safe to have a diagonal wall with a dark exterior.
A diagonal wall is just as effective as a straight wall. There isn't a gap between the two block so no mobs can get through and neither should water, etc.
There may be issues where there is server lag but I've not seen this happen.
This will not cause any mobs, liquids or other entities to get through, and will not let light in, but does reduce the blast resistance of a structure and does count as a smaller distance so may allow fire to spread through the wall.