The concept

Walking is kind of unique, in that it offers a variety of opportunities to exercise your awareness and perception.

Movement

Conveyor belt - Shift your perception to the sense that you are standing still, and the world is moving. Perhaps the world is a treadmill, and you are merely "keeping up" with its motion. Or perhaps you are standing still and the world is morphing or warping in a way that brings things closer to you or farther from you.
Timeless walking - Notice a fixed marker such as a light pole, and as you walk towards it, shift your perception to the sense that you are in fact not walking at all, because without any "time" beyond the now, you will simply always be as close to that marker as you are, and there is no change in that distance, because each moment exists independently, and each "new now" simply exists with its own facts about reality.

Connected Systems

Walking is an opportunity to observe and experience Connected Systems.

Headlessness

This is its own topic (See Headless Way) and is an established set of exercises (or experiments). Please visit that website for much more information. Walking is an amazing time to perform these exercises.