A walking foot is a desirable feature for a sewing machine. Some machines come with them built in; many do not. For some machines lacking a walking foot, you can get a walking foot attachment, which is generally not as good as having one that is built in.
The function of a walking foot is to help feed the top layer of fabric at the same speed as the bottom layer of fabric. This ameliorates the problem of one layer feeding at a different rate from the other layer. It especially helps with slippery fabrics where the two layers glide past each other easily during sewing, such as ripstop nylon or other thin synthetics, and thick fabrics where coordinated movement of multiple layers may be difficult.