How about cooking it on the grill? My husband did that with some large whole bass, and they were delicious! He just rubbed them with a little lemon and olive oil, sprinkled with salt and pepper, a grilled until just done.
I love walleye...my husband did some work up north for a while, and he and the bosses did some fishing. He brought home walleye fillets, which we panfried, and they were "finger-lickin' good!"