Yoga is a moving meditation, and walking can be a wonderful way to practice it.
The idea of walking meditation, just like other meditations, is to be fully present. You can bring such awareness to the way you walk, your surroundings, and the moment itself, that this practice can create a heightened state of connection and peace.
My first experience with walking meditation was at a yoga teacher training in Baja, Mexico. Each morning we got up super early, did a short asana practice, then we went out to the beach for walking meditation.
I would place my feet slowly, mindfully, listening to the waves crash on the shore. I felt the subtleties of each step, and often would close my eyes or even walk backwards to shift my perspective.