The name was coined in the popular game World of Warcraft from an old exploit/feature (that was later patched) that allowed players to literally walk up walls when approached at the correct angle. This ability led explorers into new unseen game territory and aided in an advantage in PVP (battlegrounds).
It was made famous by a explorer who called himself Dopefish. Dopefish released several videos of exploits and unseen areas. His movie "Noggaholic" is probably the most widely known. At the beginning of one of his movies he said he was quiting the game and was quoted as saying "Never let the Wallwalkers fall". Shortly after the release of his movies, Wall walking was patched in the game, but will never be forgotten.