Season 1, Episode 5: Gray Matter. Walt's initial decision to refuse treatment was based on his belief that he would become a shell of a person. He explains his point of view and adds that to him “the worst part” would be his family only remembering him as the miserable dying figure he would become. You may recall that while in therapy, when Walt finally snatches the “talking pillow”, we hear the truth which has only been hinted at by his actions since he was diagnosed with lung cancer. He points out that mere survival is all that doctors talk about in relation to cancer. “But what good is survival if I am too sick to work? To enjoy a meal? To make love?” Walt also talks about never feeling like he’s had much choice in his life. He sees the decision of how to approach his death as one last chance to take control of his destiny.
The next morning Walt changes his mind. The weight of his family’s feelings, and the unborn baby to come, press on him and reluctantly he goes through with the treatment. To be clear, Walt doesn't want to be treated, he's doing it because he believes it's what his family needs.