This is a nice, easy 8km hike through some of Melbourne's famous parks and gardens from Federation Square to St Kilda Pier.
Note: Before leaving the city, walk from Federation Square to Birrarung Marr and check out the Aboriginal artworks and sculpture.
Walk across Princes Bridge (Melbourne's oldest) and through Alexandra and then Queen Victoria Gardens, the latter notable for it's flower clock and sculptures.
Cross into King's Domain and walk along the path that makes up part of 'The Tan' track. Once you've reached the Shrine of Remembrance, veer right and head to the south-west corner of the park.
Cross St Kilda Road and head down Albert Road. The architecturally interesting Kettle Black is a good spot for a coffee break.
From there you'll cross the busy Kings Way and head towards Albert Park, which used to be a series of swamps and lagoons prior to European settlement.
The nicest walking is down the west side of the lake, which is quieter and provides some excellent views back over the city skyline. Watch for the array of waterbirds that call the lake home, with some migratory birds visiting seasonally. If you've brought a bite to east, there are plenty of picnic tables with peaceful outlooks.
At the southern end of the lake, cross the playing fields and Canterbury Road and head down Mary Street (or Deakin for a slightly longer and safe road-crossing option). You'll hit the beach; turn left and follow the coast along until you reach the St Kilda Pier, famous for it's colony of Fairy Penguins and magnificent views across the Bay back towards the city.