I do love NYC, Chicago, and Philly, but I've always wanted to avoid winter entirely as I get pretty severe SAD. San Francisco seems like the only walkable city where that's possible.
There are bound to be some pretty cool places in AZ, NM, TX, and the southeast. I've been casually researching this topic for a while, and I've found it to be incredibly difficult to find a useful, non-biased index of walkable and interesting neighborhoods from all corners of the US.
Good luck!