The way I acquired all of my pneumatic stuff was through the various Technic sets released over the years, but you could order the parts individually as well. I would recommend getting a Technic Pneumatic Pack set (to get some special parts like the airtank and the compressor pump), and then buying some extra individual valves and pistons from Pitsco/Dacta or Bricklink.
To make a properly moving walker you would most likely need a looping control circuit to coordinate the leg movements, which tend to use up quite a few pistons.
BTW if you are comfortable with eBay and want an official pneumatic model, stop reading this and go look for an 8868 Airtech Claw Rig set.
(it was released in 1992 and discontinued in 1995; totally awesome set)
The old pre-1989 single-acting pneumatic pieces are much harder to acquire individually these days, but you can probably find sets on Bricklink or eBay that use these pieces; I was able to score an 8851 Excavator recently off Brickbay without having to look around much. The double-acting pneumatic system is better suited to most tasks due to its higher force and general reliability, although some things can only be done with the old pneumatics. (i.e. the window walker robot)
