Canadian cities (sans Vancouver) seem to have a lot of pedestrian tunnels (often doubling as downtown malls). In HK you can get pretty far underground as a pedestrian in some parts (you can basically walk between subway stations in an underground labyrinth to avoid rain).
Also, Minneapolis has a nice skyway network. Then there is La Defense in Paris where the pedistrian level is above street level.
Yeah Toronto has the PATH system and you can get around much of the downtown core that way (though I prefer not to...). Toronto itself is really quite walkable for hours in most directions if you live downtown. However to get to anything in further reaches of the city—Scarborough, Etobicoke, or Vaughn—it's far better to have a car. Living downtown and visiting the zoo on transit is a long stretch ;)
Calgary also has a skyway network (called the Plus-15 http://plus15.com/). Living there one winter was odd to me after Toronto—you'd never see anybody on the streets. And downtown Calgary is reasonably quiet on a normal, nice day. That said that town is also quite walkable—though it's best parts are relegated to certain parts of the city that are separated by less interesting areas.
Victoria, BC is one of my favourite walkable places so far. I also really enjoyed my time in Montreal, but I'm a little conditioned to the cold.
Also, Minneapolis has a nice skyway network. Then there is La Defense in Paris where the pedistrian level is above street level.