Walk ons generally involve going to a site and playing their normal site games (generally designed to cane your paint-and in turn punters wallets) but with your own kit, so not using some 10 year old battered inferno that shoots straight every 32nd ball you fire!
They can be fun, but it depends on the site and whether you have to buy the site paint (usually of a similar quality to the guns!!).
Scenario days as you pointed out are big across the pond, just finished reading a review in PGI about 'Time Gate' which sounded fncking awesome, and the only one I am aware of that has gone on over here was 'South Park 2001' which I was lucky enough to attend coz it was BRILLIANT.
As much as i love the intensity of tourney play - speedball, supair etc, they can get a bit samey, and a day of roleplay to bring out the Rambo in you is cool.
Any organisers in the UK who read this-please more scenario style walk-ons, i think youll find a market
Psibe if you keep an eye on
www.ukpsf.com i think they are planning 'South Park 2002' - definitely worth a go