Of course they are not legal everywhere and do have very specialized care and needs that people must be aware of. There are several Wallaby breeders near me (in Alberta, Canada), and a few people own them as exotic pets.
One of the biggest cautions is for cat or dog owners. Wallabies should not be in contact with either of these animals as there are some health problems that can transfer through cat, or dog, feces, and be deadly to Wallabies - Coccidia being of major concern, and much harder to treat or prevent in Wallabies than in pet cats and dogs.
Also be aware there are several breeds of Wallaby, some being better for pets, some being more hardy in cold climates. One should do more research before rushing out to get an exotic pet Wallaby.