You could do it on a bicycle, it is a very cheap and fun way to travel since you won't need a licence, insurance nor a carnet, and will not have to deal with sleazy bureaucrats when crossing borders. Of course it has its drawbacks, is not very fast, it can be tyring and you'll have a sore ass for months. Besides that, cycling is a great way to get to know any country.
The main thing is that if you wanna do it, you'll allways find a way.
P. S. : I don't think walking is such a bad idea either...
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