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Imagine that you're relaxed and drifting off to sleep when suddenly an arm or leg twitches and you have the sensation of falling out of bed. If this has happened to you, you've experienced what sleep specialists call a hypnic jerk or sleep start. Sleep starts happen in normal, healthy people and don't ordinarily require any medical treatment. However, certain medical conditions can make you jump in your sleep and should be evaluated by your physician.
REM sleep is an active mind inside a paralyzed body, while nREM sleep is a resting mind inside a functioning body. This is why sleepwalking is possible during nREM sleep and not during REM sleep: your body is paralyzed during REM sleep but not in nREM. As for why sleepwalking occurs... well, we still don't really know. See Wikipedia: Sleepwalking for much of the current knowledge.