Steam power is a staple of... well, an awful lot of fiction, as well as a fair amount of reality. It gives you a lot of horsepower. It's not the most efficient way of turning differences in heat into work when it's built small, but there are economies of scale that you reach when you build larger steam engines. For example, the surface-area to volume ratio of a boiler meant to drive a small vehicle (like a steam-powered car - these really do exist, mainly as historical curiosities) is much greater than that of a boiler meant to drive an ocean-going ship, or a turbine that spins a generator. Hence, the small engine loses heat without generating work much faster than the large engine does, all else being equal.
And walking machines are certainly a staple of science fiction, as well as of some legends from the past. They go back at least to the stories of people creating automata - golems, for example - that have roughly human shape but do not truly live, yet walk as we do. And, of course, they're in Star Wars and everything.
So why not combine them?
Everyone loves walking machines. They're just awesome. The problem is, how do you control the legs? Walking is just a form of controlled falling. The way we do it is like this: one tips himself forward, catches himself on one leg, shifts his weight to that leg, and then continues the tip, catching himself with his other leg, and repeat as necessary. This can also be done with more legs than just two, as we may see here:
The individual movements are not that difficult. The trick, then, would be in making sure that they're timed properly. Sure, you could use a computer to time them. But I think it would be more interesting - a greater challenge, and therefore more satisfying - to use gears and a camshaft. That would open and close valves in series to operate the hips and knees, alternately pressurizing cylinders in the legs or allowing pressure to equalize.
Of course, there would have to be some form of manual control for an operator to maintain balance, as machines don't do this too well without computers. However, it is conceivable that one could build a clockwork device that uses mechanical accelerometers (gyroscopes?) rather than solid-state electronic ones to inform the machine of the nuances of its next movement.
The question is, should it have some sort of arms? Tools and such, you know? Maybe a chainsaw and a gripper, we might say, which would allow the operator to handily trim tree branches. Yes, we already have trucks and hand-held saws and ropes and harnesses and things that allow people to get up into trees and cut branches off, but that simply isn't AWESOME the way a walking tree-trimmer would be. (Or a flamethrowing skunk.)
But anyway, the question of how to fuel it is almost completely a moot point; liquid or gaseous fuel would be the easiest, as the intensity of the heat can be easily controlled by varying the flow, while solid fuels need complicated machinery to fluidize them. No, the real question is this:
What kind of idiot would buy one?
It's practicality vs. AWESOME. Make your choice.
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Previous MSPW diaries can be found as follows (and don't read them if you're trying to preserve your unwarped mind):
Thermal depolymerization, nuclear airplanes, psychic powers, transgenic bacteria that make useful compounds, lightning in a jar, neural interfaces, powered armor, sonic weapons, rapid prototyping, putting Mentos and Diet Coke to good use, life on life support, combining farming and electrical generation, pigeon pilots, cuttlefish behind the wheel, the hafnium bomb, and building a better skunk.