I'm going to build a 3' concrete retaining wall and a 6' fence on top. Is it best to wet set the 4x4 brackets in the wall for the posts? What are my other options?

Are you using metal pipe or wood for posts?

Wood posts

Wet setting is the easiest way. Another way is to let the concrete harden, use a hammer drill to set red head or lead anchors and then screw brackets to the concrete and screw the 4X4 to the brackets. I think wet setting is easiest and best. HOWEVER make sure to do the fence layout first or you will be cutting a lot of fence supports.