First of all, the Sam Walton's last request thing is a myth that simply isn't true. Wal-Marts in many locations will allow customers to park overnight, but some will not. As was stated in the article that Mark linked to, some towns have even outlawed the walmart camping practice. Again, as has been stated, you need to check with management before just parking overnight at any private parking lot, be it a walmart, a truck stop, or some other similar location.

So what you are saying is to just find some BLM land and just go out and set up camp out there?
I'm going to repeat this one last time, because somewhere you are badly misreading what I am writing. You absolutely can not just find some BLM or National Forest land and set up camp. In many cases, camping will be legal and allowed on these public lands, but that is not universal. This is why talking to the ranger station that oversees the land is important. They can tell you where you can or can not camp, and where you can park your car.