A pun that periodically shows up in TV shows and movies. The pun comes from the fact that the word 'way' in English is both a direction and a manner. The general consensus* on the origin appears to be the following vaudeville joke:

Character 1: Excuse me, I'm looking for talcum powder.
Character 2: Walk this way, please. (Starts to walk off)
Character 1: If I could walk that way, I wouldn't need the talcum powder.

This pun has shown up on screen as early as the 1930s, usually as a visual pun; a character, who has a funny walk or stance, will ask a second character to "walk this way", leading to the second character walking in the manner of the first. A good example of this played straight was in Mel Brooks' "Young Frankenstein" with Igor (played by Marty Feldman) leading the way**. In Monty Python's Flying Circus, a variation of this pun was a running joke on the show. It involved one character asking the second to "walk this way". The second character would respond "If I could walk that way-" but would be sternly cut off and warned not to complete the joke by the first.

* General consensus online and hence not a particularly trustworthy source.
** Thanks to avalyn for that example.