There's a nice post by smart-growth advocate Richard Florida pulling together a couple of different data points to find America's most walkable cities.
The top city by both Walkscore.com and Nate Berg's calculations on number of above-average walkable neighborhoods: San Francisco. Order differs on numbers 2-4 but the cities are the same: Boston, Philadelphia and New York.
Florida also notes that a majority of Americans say they'd prefer living in walkable neighborhoods. And, he points out that researcher Joe Cortright has demonstrated that "housing prices have held up better in more walkable communities."
Why don't more of us live in walkable neighborhoods when the data are so compelling? Partly because zoning makes it much easier to build a conventional suburban-sprawl subdivision than a walkable neighborhood. And, partly because you often get more for your money in a sprawling subdivision in the exurbs than a walkable neighborhood in, say, Wellesley or Concord center. Note that a "pedestrian-friendly neighborhood" is not the same as "densely populated." Safe and attractive streetscapes are required for a neighborhood to truly be walkable.