you can definitely max out the health on your pokemon... but then you can STILL max out a 2nd stat... you might want to consider maxing out its HP... or its sp def... to have a 'wall' pokemon of sorts... or you can split the remaining EVs between the HP and sp def.
its up to you... but dont just EV train it in one stat.

Well, it's 255 that you can put into one stat, but the math that is done with that makes it so 3 points are wasted on the top.

I max out my evs at 252 points. Never more than that per stat.

 

Well, it's important to get the right *type* of pokemon to match up against your opponent. That is debateably more important than typical def/sp def stats.


Example: You have a metagross out. Your opponent switches in a pokemon, you expect an earthquake. The best thing to do is switch to a flyer(or someone with levitate) who also resists the other types of moves you expect out of that pokemon.

Aside from that I'd reccomend going here: http://www.serebii.net/pokedex-dp/   and clicking on the defense and sp defense buttons. They'll list the pokemon with the highest defense/sp def in the game.

Let's take Skarmory as an example, as he's a very common physical wall.  You would want to put 252 EVs into HP, and 252 EVs into DEF.  This way he'll be able to take a physical hit pretty well.

You have to consider the moves you are going to give the pokemon too.  Giving Skarmory Roost allows him to heal himself, which is very important for a wall.  You also want to look for supporting moves that a wall can use, such as a status inflicting move (thunder wave, will 'o' wisp, etc.), a spiking move (Spikes, Toxic Spikes, Stealth Rock), or something like Whirlwind or Roar.

Another tip on EV training, give the pokemong Pokerus as this will double the EV's it earns.  Also, collect all the Power items from the Battle Tower at they will shave hours off your overall EV training (of multiple pokemon).  Also, make sure to buy and use vitimans as it is easy to earn money in D/P.

If you need more help, feel free to ask.  I can give specific answers, but I don't want to babble if you already know the answers.