The wheels are also of great difference. A nice bike will have double walled rims made of alloy, properly trued wheels with spokes better and maybe fewer spokes, machined hubs, as opposed to stamped or cast and sealed bearings of a tighter tolerance. This works out to a wheel that will be more durable, weigh less and have much better aerodynamic. Aerodynamics are huge on a bicycle and account for nearly all of the resistance to riding. You'd be amazed how much drag 30 steel spokes can generate. Conversely a wal-mart wheel will have cheap hubs, heavy and weak rims, straight spokes, poor bearings etc... It works out to a wheel with more rolling resistance, more air resistance and is weaker. Wal-mart bike wheels are really bad.
Brakes, the brake calipers or worse mechanical disc breaks will be made of cheaper more flexible parts and will not work as well, period.
After those big things, it's pretty much everything else. The seat post, seat, stem, bars, grips will all be much heavier. The shifters will be cheaper and not as precise. The chain will be clunkier and heavier with fewer gears. All those little parts add up to further increase the weight and decrease the precision feel of the bike. The bike may also not have multiple attachments for water bottles.
Overall, the wal-mart bike generates much more resistance to the rider's efforts and will be less comfortable on longer rides. That is the difference.
If you just want to ride it through a small park on Sunday or around the block, it literally doesn't matter. If you want to go riding for a few hours at a time, it's a HUGE difference.