My housemates used this expression, and I fail to understand why it's shameful. It's not just for returning from dorm rooms, mind you, but other houses as well. Just to clear up any confusion, this is their definition:

The ritual journey taken by the non-owner of the bed that they were drunkenly rutting in the previous night.

What, exactly, is shameful about getting lucky*? I've done the Walk of Shame several times, and I was not embarassed. I was proud. I felt attractive, I felt confident. When you wander back into your house at 9am in the same clothes you left in, and find your buddies all sitting on the couch watching TV, you have nothing to be ashamed of.

While they stayed in, you went out and rocked the casbah. So, if you find yourself wearing a shirt stolen off someone else's floor wandering home the morning after and some jerk points and/or snickers and/or references the walk of shame, ask them if they had sex last night. You > them.

* NOTE: Your own morals and attitudes to this sort of thing aside, of course