They are both OK.  I would use them slightly differently e.g. 

Watch out for the man walking in the road.  He is going backwards and forwards and the cars are avoiding him. He looks drunk.  [The road is like a container and the man is covering the space in the container)

Sometimes when the pavement (US sidewalk) is being repaired, you can't walk on the pavement and you have to walk on the road. [The road is a surface on which my body is positioned]

If you mean that you are walking on the pavement from place A to place B, it would be natural to say "I am walking down/along the road".  You wouldn't say "in" or "on".

In general, we use 'in' for enclosed spaces or areas which have defined boundaries, and we use 'on' for more open areas and surfaces. That's why we say "The keys are in your pocket", but "Your dinner is on the table".

Now here's an answer to your question about roads from a British English perspective. As you're European and living in the UK, this would be most useful to you:

Both sentences are fine. When it comes to roads, you can use either 'on' or 'in'.  If you say " It is dangerous to walk in the road", it conveys the idea that the road is a defined area, with a pavement (GB English) on either side.  If you say "It is dangerous to walk on the road", it focuses on the surface of the road and suggests a more open area. Both are equally correct, and the difference is very subtle.

Given the choice between just these two options, I would say "It's dangerous to walk in the road". This sounds more natural to the British ear, and - in spite of what Keri suggests - it certainly isn't wrong. This emphasises the fact that you are walking where the cars are instead of taking the safer option of walking along the pavement.

If you aren't emphasising this, the most natural expressions would indicate movement and direction.  For example "I walked up/down/along the road".

From an American English speaker (who's going crazy with Italian prepositions) here's a simple explanation of how the two differ, technically):

If there is a dangerous road condition such as construction or holes or flooding, one would say "It is dangerous to walk ON the road."

If we are cautioning someone because traffic makes it unsafe (versus walking on a sidewalk), we would say, "It is dangerous to walk IN the road."  (We tell our children this all the time!)

Don't sweat this one, though.  It's no big deal to use either preposition.  You'll be understood.  Hope this helps!