Walking your dog goes way beyond simple exercise. True, that is a factor as well, but more importantly, it gives your dog a chance to unleash it's instincts to explore and move around. Even if you have a large piece of land to yourself, it isn't enough. Imagine the plight of dogs who are kept in an apartment!
A dog loves to sniff around, walk around, and explore their area. Left to themselves, they would explore all the streets, alleys and roads in your neighborhood :) . However, since this is an impossibility, it is your duty to do as much as you can for them in the way of giving them a bit of adventure.
It's important to be firm when walking them so that they don't run off with you. Apart from the inconvenience, it also shows that your dog doesn't respect you which can lead to behavioral problems later on. On a personal note, my mother takes our dog for a walk late at night without a leash so that no one sees the dog unleashed. I'm not recommending this to anyone though!