Our little nonprofits arts organization as a group was asked to participate in another nonprofit's fundraising walk. Other than 'it's not always a good idea to share donor lists' are there other legal ramifications of doing this? BTW our mission is to raise funds that we then distribute within our local community.

If I understand what you're saying - your members would take part in the walk as individuals and donate money to this other charity? No problem. If however what you mean is your organization would raise money to be donated to that other charity, then again no problem as long as there is a board resolution and vote that documents approval for the donation.