I think Walker is... Here's why SPOILERS
SPOILER WARNING
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I think he is dead, and it's just like in High Plains Drifter. He comes back to the world of the living long enough to exact his revenge, and for that time he is able to interact with people who still think he's alive.
After he was shot in Alcatraz, he "haunted" the place just like a ghost. You saw him in various locations around the prison just standing there passively, at one point just hanging on to the barb wire fence, not moving. If he was alive, don't you think he'd be acting like it? He'd be moving around trying to get help, leave the island and mend his wounds.
When he gets into the water, he isn't actually swimming. Just rolling around. This could mean he's entering the next plane, the ocean symbolizing the great void.
When he tells Carrol O'Conner's character he wants his money, he looks uncharacteristically noncommittal. What good is money to a dead man? It mattered to him when he was alive, and you can think of it as a last gasp of his mortal life. He's still getting used to the idea that he's dead and that money doesn't matter anymore.
In the last scene at Fort Point they reveal that Keenan Wynne is actually a real person because Carrol O'Conner knows him. Walkers work is done. He's punished all the people who wronged him and he simply fades away into the void.
Gak is best when eaten live.