William Walker Movie Marathon: Burn and Harris / Cox
Both of these films are inspired by the myth of William Walker but neither attempts to present an accurate history of the man. Burn was my favorite of the two. Located in a fictional Caribbean island, it tracks a "Walker" character who tries to keep the slaves in line for politicians and corporate power - for a fee due to Walker.
Walker by Cox seems to have been inspired by Burroughs, Jesus Chris Superstar, or Derrida. It does, at least, have footage from Nicaragua. Near the end of the film, Cox's fascination with the Sandinista question and his own personal answer to it seems to have increasingly taken over his storyline and presentation, with modern cars, magazines, and helicopters making their cameos.
I'd say, unless you're a Leary fan, stick, with the Brando: you can even download it from Amazon and watch it right now for three bucks (follow my link).
Or, if you've got just 5 minutes, take a look at a preview and the Siskel / Ebert review here (I've just found it and watched it after writing my own review).
Still looking for some more good sources about Walker...