Locality is the key property that ties a quantum walk to the underlying lattice. By this we mean that matrix elements of the unitary one-step operator become small between distant sites. The extreme case of this is a nearest neighbour walk, where matrix elements become zero for distance >1. We are interested here in the notions of locality for infinite lattices, allowing some decay of matrix elements, and focusing on the large scale propagation behaviour. The mathematical notion for a locality structure, which takes due note of composition properties, is called a coarse structure. I will describe this and show how even in one dimension there are different natural choices, which subtly differ even in the translation invariant case. I will then go to higher dimension, and discuss the relation to compactifications, C*-algebras, and their classification via K-theory.