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As with any question that asks you to talk about the importance of a particular quote or section of a text, it is vitally important that you look at both what comes before and after that quote in order to make sure that you understand it correctly. This is called examining the quote in context. If we have a look at the line prior to this quote, we can see how this is shown to operate:
As long as possible live free and uncommitted. It makes but little difference whether you are committed to a farm or the county jail.
Thoreau is writing about the dangers of commitment and how this can actually inhibit you from living your life in a way that is in opposition to the "quiet desperation" that is evident in the life of so many. Thoreau basically argues that it doesn't matter to what you are committed. This could be to either a farm or to a jail. What concerns Thoreau, and what he writes about, is the fact that the very commitment that you display will impact your ability to live the kind of life that he espouses in this text.
Just prior to this quote, in the beginning of chapter two, Thoreau discusses his attempts to buy a farm. At the point of the quote, he has given up on the farm idea and waxes philosophical. He is ready to move to his cabin in the woods by Walden Pond.
When he says that it makes little difference whether you are committed to a jail or a farm, he means that either one can end up owning you. Both restrict your movements, tying you down. He states that the "poet" can derive more satisfaction from the farm he cultivates in his imagination than a real farmer from a real farm. He quotes Cato advising a person to take their time and contemplate carefully before buying a farm.
Further, this "little difference" quote reinforces a major theme in Walden: our interior state of mind matters more than our outer circumstances. Are we, in Thoreau's words, "sucking the marrow out of life" by engaging fully with our surroundings, whatever they might be, or are we living dully? He knows, for instance, that he has moved to a pond just outside of Concord, which to many people would be no great adventure, but he emphasizes that in his imagination he might as well be on the remote Russian steppe or back in some sort of Arcadia of Greek myth: it is not what possessions we have but who we are inside, our imagination, that sets us free and determines the quality of our experience. As he says later, "simplify, simplify" so that you can focus on what is really important.
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