Wow! What an episode. Like the Pilot episodes, this one has everything. There is great character drama, which features not just the centric character of John Locke but all the other survivors as well. But there's more on offer here than slow pace drama. There's enough action/adventure moments to keep the episode moving with the survivors running from Boars and the mechanical sounding monster, which makes a second welcome "appearance".
This episode has alot of mystery elements as well and certainly gives viewers something to think about with regards to the power that the island has over those that inhabit it. Did the island heal Locke from his paralysis? And does the unseen entity that Locke looked up at in wonderment have something to do with it. One thing is certain, even without seeing it: it is not a dinosaur. If it was Locke would be dead. Why was his life spared? Whatever it is is far more sinister but mesmerizing at the same time, and has intelligence to know when and when not to kill out of defense (?).
What makes this episode even better are the flashbacks. Locke's past history is so interesting and tragic that it captures your attention as much as the island stuff. The ones in Deus Ex Machina are even more emotional. The purpose of Walkabout's flashbacks are to reveal the huge twist regarding Locke, which even Hitchcock would have been proud of. The fact that Locke was wheelchair-bound before landing on the island explains why he worships the island and is so calm and confident now, which is the opposite to how he was in his earlier life. In flashback he is a trembling wreck of a man but now his life has been given meaning, and inadvertently he is at a place he wanted to be and having his own little "Walkabout" hunting Boar. This episode introduces us to the concept that the island is a place to start anew.
The episode also introduces us to things that would be addressed in future episodes, like Jack's vision of his father, that would continue to haunt him in the following episode.