Wearing weights can increase the calories burned while walking, but it is far safer to just walk further instead. Weights at the ankles, feet, wrists and hands increase the risk of injury to the knees, shoulders, muscles, tendons and repetitive motion injury. A weighted backpack can cause strain if the weight is not distributed across the hips. Only a weighted vest or hip belt is recommended. I do not recommend weighted shoes, all of my experts caution against them.

Pricegrabber ©The only weights I can recommend, with caution, are to add weights to your torso with a balanced weight vest. The Walkvest is nationally advertised. I like it because you can add half pound weights, from 2 to 16 pounds. This will help you to burn more calories per mile. If you are already at ideal weight and have no joint problems such as arthritis or knee pain, then you may want to try a Walkvest. But you can burn those same extra calories by nordic walking with walking poles or by just walking a couple extra minutes each session. The kit comes with a walking workout DVD.
If you really MUST use hand weights, these could come in handy. First, they are only 1 pound each, so they are less likely to give you neck, shoulder, wrist, and elbow problems than heavier weights. Second, where legal to carry, the right hand weight has a pepper spray canister you can use them for non-lethal self-defense against critters and bad guys. Or, take out the canister and use that space to carry keys, etc. They have soft neoprene grips.
A weighted vest is the only walking weight item that I can recommend. This vest allows you to add up to 40 pounds and carry it distributed properly to reduce risk of injury. This will increase your calories burned per mile. You can add or remove the weights to build up gradually the additional weight you carry.
If you want to do some upper body toning while walking, this lightweight device can give you some resistance. Personally, I'd rather concentrate on proper walking form and good arm motion. It is a great item to use to whack attacking dogs or muggers - it hurts but won't permanently injure them.
Hand or wrist weights can be used with arm motion to give you some extra toning. I don't recommend them because they can increase risk of injury to your shoulder, neck, elbow, or wrist. However, if you really want to use hand weights these are 1 pound each, with additional weights you can add once you stop and are ready for a real upper body workout. Use only on shorter walks. Made with soft foam and adjustable velcro hand grip.
I do not recommend ankle weights for walking because they can increase the risk of strain and injury. You can burn more calories by simply walking another few minutes instead. However, if you really want to wear ankle weights, these weights are adjustable by adding or removing 1/4 lb. metal weights, up to 2.5 lb. per ankle.
I don't recommend ankle weights for walking, but I do recommend them for toning exercises after you walk. I like the AquaBell weights because they are easily adjustable and transportable. You fill them with water to increase their weight.