Should I use solid concrete or cement block for an egress window well?
Properly built cement-block walls are incredibly strong.  They're mortared for vertical stability and wire stretched between layers for horizontal stability.  As long as it's thick enough to hold the weight of the ground, then that's a fine solution.  Actually, I'd find the minimum required for support and then go one step thicker.

Water will collect in this depression.  Make sure it has some kind of sufficient drainage or you could end up with water coming in through your window.  12" of gravel at the base may be enough depending on the type of soil underneath -- check your local building codes.