We focus on the problem of performing random walks efficiently in a distributed network. Given bandwidth constraints, the goal is to minimize the number of rounds required to obtain a random walk sample. We first present a fast sublinear time distributed algorithm for performing random walks whose time complexity is sublinear in the length of the walk. Our algorithm performs a random walk of length $\ell$ in $\tilde{O}(\sqrt{\ell D})$ rounds (with high probability) on an undirected network, where $D$ is the diameter of the network. This improves over the previous best algorithm that ran in $\tilde{O}(\ell^{2/3}D^{1/3})$ rounds (Das Sarma et al., PODC 2009). We further extend our algorithms to efficiently perform $k$ independent random walks in $\tilde{O}(\sqrt{k\ell D} + k)$ rounds. We then show that there is a fundamental difficulty in improving the dependence on $\ell$ any further by proving a lower bound of $Ω(\sqrt{\frac{\ell}{\log \ell}} + D)$ under a general model of distributed random walk algorithms. Our random walk algorithms are useful in speeding up distributed algorithms for a variety of applications that use random walks as a subroutine. We present two main applications. First, we give a fast distributed algorithm for computing a random spanning tree (RST) in an arbitrary (undirected) network which runs in $\tilde{O}(\sqrt{m}D)$ rounds (with high probability; here $m$ is the number of edges). Our second application is a fast decentralized algorithm for estimating mixing time and related parameters of the underlying network. Our algorithm is fully decentralized and can serve as a building block in the design of topologically-aware networks.