When many neo-burlesquers are asked which is their favorite striptease in a movie (that is, a scripted movie that isn't necessarily about burlesque, as opposed to a collection of clips of burlesque performances), this one is cited the most. And for good reason!
I perform a lecture called "Exotic Dance in Contemporary Film." It's mostly about burlesque, of course. I explain how the film clips of burlesque dancers recorded in the 30s-60s are often overdubbed because either they were shot silent or the music rights were too expensive for the video producers to acquire, meaning that we don't get to see how the dancers utilized the music. Plus, they are usually shot with a single camera and we don't get to see how the dancers utilized an audience. We can see their hair, costumes, and a few of their moves, but we can't get a full sense of them. Frankly, watching a burlesque routine on film, though fun, is not remotely a substitute for watching the number as part of a live audience.
In movies, however, directors can play with all these elements, as well as usually (though not always) presenting the dancers in the context of a story that gives the performance extra dimension. The performances lack the authenticity and improv elements of real live burlesque, but they have added value for what they do bring to the film. One of my favorites is Bob Fosse's direction of Valerie Perrine in "Lenny." Bob Fosse had performed in burlesque variety shows and knew what he was doing when he represented burlesque.
However, this Walken video is something else. It's just pure ridiculous joy to watch, for one thing--the man can dance. The music is great. The striptease makes the most of every element of his costume and environment. And it has one element that is usually cut out of the clips on youtube, which explains the impact of the reveal at the end. This scene actually begins with Bernadette Peters' character introducing herself as "Lulu," and Lulu is the name Walken, a stranger, has tattooed on his chest. That's a frickin' Big Reveal!