The Lambeth Walk was the first of the "romping" sequence dances that became popular in England between the first and second World Wars. Referring to a particular street in the Lambeth section of London, the song and dance number originated in the successful 1937 musical Me and My Girl. When Noel Gay's music was published with dance instructions included, a fad was born which remains a living tradition today. The dance turns up in all sorts of odd places, and the song is still traditional in the Pearly community of charitable organizations. A quick search on the term "Lambeth walk" will turn up plenty of metaphorical usages along with references to the street, which still exists, though mostly rebuilt after being bombed in during World War II.
The musical itself has been revived several times, though the Broadway choreography of the Lambeth Walk scene in the 1980s revival was only loosely inspired by the original dance. Follow that link for the wonderful performance by Robert Lindsay and Maryann Plunkett, and to get a a feel for the tune.