Walking in Rhythm

"Walking in rhythm
Movin' in sound
Hummin' to the music
Trying to move on"

—The Blackbyrds, "Walking in Rhythm"

A subtrope of Mickey Mousing, Walking in Rhythm is a situation in which a character walks to the beat of the background music. The fact that his feet move to the music often causes the viewers to apply the song and its attributes to the character. As such, this is an effective way to set a mood for a particular character.

If the hero walks down the street to the beat of an upbeat, fast-paced song, it sets up the character as one with attitude. A sad, slow song may invoke a feeling of hopelessness about the character. The same effect can be used as a character walks away.

It can also be used to set up a dramatic moment. Perhaps the hero is doing The Slow Walk toward his foe, or maybe he is stepping up to fill a dead comrade's place. Whatever the situation, as his slow-motion steps touch the ground in time with the music, the drama increases.

It can be used to emphasize a change in a character. Perhaps the hero has embraced his inner evil, or maybe he has just lost someone dear to him. As the montage of his new outlook roles, his feet fall in time with music more fitting to his new persona.

Or it could just be done for the Rule of Cool.

Examples of Walking in Rhythm include:

Film

Trope Codifier is probably Saturday Night Fever; specifically, a song composed by Barney Perry and sung by the Blackbyrds. Also, Stayin' Alive, a young John Travolta / Tony strutting down the street to the Bee Gees beat.
Played for laughs in I'm Gonna Git You Sucka. Fly Guy is a pimp whom we earlier met in prison. In this scene, he returns to the streets to take back what's his, while wearing platform shoes with inset aquariums.
At the end of Rush Hour, Jackie Chan and Chris Tucker do a sorta dance to "War" while walking away.
Used literally in High School Musical 2, of all places: Sharpay orders the percussionist to "give [her] a beat" to which she can walk huffily out of the room.
Spider-Man 3: After getting his black suit (and turning into a Jerkass Emo Kid), Peter walks down the sidewalk, while checking out all the girls he passes.
During the end credits of The Adventures of Buckaroo Banzai Across the 8th Dimension, the entire cast walks down the Los Angeles River Aqueduct to the movie's theme music.
The original St. Trinian's films: Flash Harry had a "theme" which played while he sneaked in.
While sneaking into the Palace Hotel Ballroom, Jake and Elwood Blues tiptoe to the beat of Cab Calloway singing Minnie the Moocher. It's also a Crowning Moment of Awesome for a movie filled with them. Of course, musicians have been doing this for decades. The scene from The Blues Brothers is probably a reference to artists like Cab Calloway, who would lead a band and a crowd simultaneously, and walk to the beat as part of the performance.
This was used a lot in older films, both in silent films, where BGM was the only music and characters would of course walk to it, to old cartoons (Popeye in particular used to do it a lot).
Undercover Brother: The title character does this while first walking through the corridors of Multinational Inc.
The Laurel and Hardy movie Bonnie Scotland has Laurel doing this (with a rhythm that's apparently playing inside his head). It spreads to the rest of the military outfit in which he's enrolled.
In Hudson Hawk, Hudson and Tommy time a heist by singing "Swinging on a Star". By the time they get to the end of the song, they are all but dancing their way out of the auction house they're robbing.

Live Action TV

Played with hilariously in Buffy the Vampire Slayer - after Xander has cast a love spell that's gone haywire, we see his feet as he strides down the school hall to the Average White Band's funky "Got the Love" - as the camera pans up, we see he's in a deer-in-the-headlights state of panic.

Video Games

Done is Sly Cooper, when he sneaks up on Mooks
In New Super Mario Bros. Wii, various mooks will respond to cues from the background music.
It is done commonly in Space Channel 5

Western Animation

In a direct spoof of the Saturday Night Fever example, Bart Simpson does this in the episode "Bart's Girlfriend" after Jessica Lovejoy invites him to dinner.
In The Lion King, as Simba scales Pride Rock, his feet fall in time with the music, leading up to his triumpant roar at the top. Also during that part of "Hakuna Matata" where they walked across the log.
One episode of Family Guy sort of inverts this, when Peter Griffin wished to a genie in a bottle of beer for his own theme music. When he walks around, music plays depending on the situation: it's happy, cartoony and upbeat when he walks happily, sad violins when he meets a poor hobo or suspenseful when he's about to get battered.

Real Life

Marching bands, of course.
- xkcd joked about this in one comic, and said that one could pick out members of a marching band in a store by making the background music skip and watching them stumble.
- Songs with irregular beats can have a similar effect.
When the Millennium Bridge over the Thames was opened, it had to be closed as it was swaying. It has been theorised that it was the result of the footsteps of everyone crossing it being subconsciously co-ordinated by the music being played (getting a few thousands of people walking in sync over a bridge is a massive no-no. If the swaying hits the correct frequency, it can rapidly amplify itself and bring the bridge crashing into the river in a couple of hours).
Armies traditionally march in formation (combined with the stereotypical "marching" gait this is the most efficient way to move large numbers of people on foot). For similar reasons to the above example it is always avoided on bridges.
Not technically background music, but people may start subconsciously walking in rhythm to music on their iPods. iPod runner's software inverts this trope, as it chooses music the goes in rhythm to the runner to help keep their pacing.