They don't get to roam freely; we put harnesses on them and walk them on a leash, because we're concerned for their safety (we have major streets nearby, plus we've seen coyotes and foxes right outside our door on a couple occasions), plus we don't want them murdering all the birds and other wildlife in a five-block radius.
The first time we went for a walk was not very successful. Panthro was bold enough to over to the townhomes across from us and down a little ways before there was a Scary Noise. He startled, then got freaked out by being held back by a leash, then more freaked by the leash getting caught on a bush, and I had to carry him back to the house. Nico and Mims just hung out as close to the door as they could get, yowling to be let back inside.
Since then, however...
Panthro LOVES going for walks. He will yell at the door at least a couple times a day to let us know that he would like to go out again. (We are trying to stick to a schedule of an hour or two before sunset every two or three days.) He's explored a block or two in most directions from our house, and he will happily go walking for an hour or more before it's time to come home. (Unless there are Scary Noises.)
Nico also has taken to it, and will yowl unhappily if he's left inside. He is not nearly so bold; today he was very adventuresome and went all the way to the street! He also usually asks to go back inside for a minute a couple times per walk. (We've learned not to take his harness off too soon.)
(Mims has not yet gone outside again; she does NOT like the harness, so you have to sneak up on her to get it on, and we haven't successfully done that early enough to let her get used to it in advance of the walk since the first attempt.)
Walking a cat is not like walking a dog. There's a lot more standing around for minutes at a time while your companion is staring into a hole which may contain prey. Or sniffing a plant. Or nibbling grass. Or rolling around on the sidewalk. You have to let them lead and set he pace; cats are not good at following.
We have gotten a lot of people remarking on how cute it is and/or expressing astonishment that the cats don't mind. We've also learned the names of some of the other cats in our neighborhood. And spent a lot of time trying to explain to the cats that, no, we're not going to go explore the neighbor's patio, standing here on their doorstep is awkward enough.
But they are clearly enjoying it, and it gets us out into the fresh air on a semi-regular basis.