word choice - Does a pedestrian walk 'in' the road, or 'on' the road (both are correct, but which is right?)

Having a bit of a debate about this with some foreign colleagues of mine.

I've always used the phrase 'I'm walking in the road', they think that you should say 'I'm walking on the road'..

I'm not 100% sure why I use the word 'in', but there must be a reason for it!

So... which is right?