This is definitely one of the more unexplained things in the show, I've seen opinions on all sides. There's the 2(?) times he shows up to Shannon and Sayid in the first half of season 2, and then there's the 1 time he shows up to Locke at the end of Season 3.

My opinion is that the season 2 stuff was actually Walt, while the season 3 one was MIB. My reasoning for this is that in season 2 The Others specifically question Michael about Walt showing up where he isn't supposed to. The show makes an effort there to establish that as a thing Walt might be able to do. And the way we see him in those situations. Always at night, only there momentarily, speech comes out all garbled. Totally things I could believe are because of someone not skilled in his power. Maybe doing it unconsciously in his sleep. Once Michael goes after Walt these incidents stop entirely.

Now compare with the season 3 appearance. We've got Walt showing up and suddenly talking up Locke's destiny and how he's got work to do just like every single other thing the MIB impersonates when messing with Locke. Why would Walt ever be saying that stuff to Locke? People bring up that MIB can only impersonate dead people, but that's not strictly true. He's also impersonated people he's merely 'scanned' from memory. We see this with Eko and the altar boy for example. The show goes out of its way to remark that Walt in this appearance didn't look right, Locke remarks on him being too tall (this is really because the actor aged obviously, but in show continuity that's not an explanation). Maybe this is because forms he takes merely from people's memory aren't as good. They aren't reliable (just like memory). Hell maybe he can only maintain those forms briefly, we never see him take a form of a living person for more than like a minute I don't think. Which would explain why he never uses this aspect of his power more, which I always found a bit of a plot hole otherwise.

Now obviously there is a good amount of guesswork and pure speculation in all this, and there's no way to really prove any of it. But it does consistently tie together a lot of unexplained phenomena concerning the Walt apparitions so I'm pretty happy with it.