I also think it's tragic that many women's first reaction to a walking date would be to get huffy that a man you barely know isn't splashing the cash on you. Pitiable on so many levels even before you get to why a walking date is good in itself anyway.
Firstly I neither want nor expect a man to spend money on me on a first date. I always chose to go halves, even if it was just a coffee or a pint.
Secondly having cash to splash in the first place wasn't what I was looking for. Maybe because I've spent a lot of time in social circles drawn from careers and industries that don't pay a lot (arts, etc), but if a man can't afford to keep spending money on first dates, I don't see that as a failing (and I think women who do are kind of awful).
And regardless of the above I think a walk is actually perfect for first dates. As PP have said, you can actually hear each other speak. No nervous drinking - getting the adrenaline going with physical activity is much better at settling nerves! No second-guessing the silly who's-paying-for-what stuff. Everyone looks better than they think they do on a walk - no, you won't be artificially perfectly coiffed and glam but you'll look healthy and glowing.
Countryside walks are great to be in nature. City centre walks are great to learn about weird and wonderful history - DP and I do tons in London, and some of the most interesting ones are in bits of the city you might think are totally unremarkable.
Absolutely love a walking date!
And if for whatever reason you don't want to go on one you can always just SAY SO rather than get in a huff over someone else suggesting something reasonable.