For walking (sidewalks, not treadmill), I use a mix of Librivox audiobooks, podcasts (mine are largely yarn related, but YMMV), and music. Music is best when I need to be fairly aware. Podcasts tend to take somewhat more brains. Audiobooks take the most brains. I swap around depending on the circumstances, since I have to worry about car traffic.

Language learning podcasts can be useful as well, but those take the most brains of all.