Actually Walken CAN dance and has done so before on other shows (his mother forced him to take dance lessons when he was a kid).
he was tap dancing..however, the sounds started before he did and it didn't jive with his steps
Walken was a Broadway child star. Yes, he had dance lessons and he can dance. The taps, on SNL, however, were phony.
Hollywood didn't ever really know quite what to do with him, so they have always cast him in weird/villain roles, because of his looks and because unlike most, he is a good actor