The streets are usually more narrow than what I am used to in the USA, and there is always something new and exciting to look at while walking, such as shop displays, street vendors and the people themselves!
I think the fact that walking is more common in Spain than it is in the United States is very connected to Spanish culture. Spaniards tend to take more time to enjoy the small pleasures of life, such as stopping to stare in a shop window for several minutes or strolling from their house to a store rather than trying to get there as quickly as possible. This slower, more relaxed pace of life makes walking (at a slow pace) much more common than what I am used to, and I love this aspect of Spanish life.