Using an F2 frost resistant brick will go a long way to avoiding frost attack but in particularly wet or exposed locations even F2 products have been known to fail. Using a cement rich mortar (1:1:3/4 cement, lime, sand or equivalent) for cappings and copings can help.
The provision of a waterproof backing or tanking coat to the rear face of brickwork on a retaining wall and ensuring adequate drainage through the wall by the provision of weep-holes will also significantly reduce the risk of frost attack. In addition, you could choose a high density, low absorption brick (See B.S. 5628 Part 3: The Code of Practice for Masonry for further guidance).