Golden Gate Park can easily fill a few days on its own. The Botanical Garden is one of my favorite places on Earth. The Conservatory of Flowers is wonderful. Stow Lake, with its rental boats, is spectacular. The AIDS Memorial Grove is first-rate. The Beach Chalet offers wonderful sea-sunset views. The buffalo paddock is fascinating. And there's so much more... If you're around on the 28th, be sure to check out the Park Band
's season-opening (free) concert.
I love taking CalTrain. The walk from the Palo Alto station to the Stanford campus is majestic, and the free art/antiquities museum there (not open every day) is awesome.
Angel Island is fantastic - much bigger and warmer than Alcatraz, great hiking and biking with amazing views. Ditto for Mt. Tamalpais.
There's a life-size Yoda statue by the LucasArts complex in the Presidio... who knows how much longer it'll last.
Dolores Park is terrific, as is the Mission Dolores, the city's oldest building, and its adjoining mini-museum. The whole Mission District is great, especially on weekend evenings.
Buena Vista Park is the bee's knees. Nearby Corona Heights Park, with its Martian-like soil and amazing views, is the cat's pajamas.
Noc Noc in the Lower Haight is an absolutely unique bar straight out of Gaudi's drunken dreams, and definitely worth a gander and a pint. Delerium is the ultimate dive bar in the heart of the unmissable Mission District. Zeitgeist isn't too shabby either. The Top of the Mark at the (top of the) Mark Hopkins hotel is perhaps the city's classiest.
I don't know where the closest Wal-Mart is to SF, but don't see why you'd want to look for one - it probably wouldn't be as legendarily depressing as you might be hoping. There's a Target in South San Francisco, easily accessible by car, but that's hardly a destination, either. The Westfield Centre mall in the heart of SF's Market Street is far more interesting, with an excellent food court and all kinds of clothing stores inside and directly nearby.
A ferry ride from the Ferry Building to Sausalito is a cheap and excellent Bay cruise, with Sausalito's Old Town being an absurdly cute/quaint shopping destination.
And, of course, the Western Addition features perhaps the city's most important site, Gaith
Have I missed anything?