In Sandton in the center)
It depends on what you want to see while walking. If you want shops - Sandton mall, Mall of Africa (both huge and full of expensive stores), Rosebank Mall, Cresta Mall, and others - smaller ones.
For "toy" streets - Montecasino, Melrose Arch
For real streets - Parkhurst, Melville, Linden
Parks - Emmarentia Botanical garden, Walter Sissulu Botanical garden, zoo
Museums