In the run-up to the anniversary, many have recalled another march involving the Social Democratic firebrand nearly 30 years earlier: how in 1968 he walked side-by-side with the North Vietnamese ambassador through the streets of Stockholm, provoking dangerous tension in Sweden's relationship with the United States and dismay among more moderate voices at home.
A drum-roll used to resound through the words of Olof Palme, the most uncharacteristically dramatic and controversial champion of the Swedish Social Democratic movement. More than anyone, he epitomised the image of Sweden as the world's self-appointed conscience. As one life-long Social Democratic supporter put it: "Nobody speaks that way any more. He was never dull, never predictable. We didn't always agree with him but he made you think."
On the night of 28 February, 1986, Olof Palme was shot at point-blank range by a lone gunman in a street in central Stockholm while walking home from the cinema with his wife. A botched operation by the Swedish police - unused as they were to political assassinations on the capital's streets - failed to seal off the escape routes in time. The killer has never been found.
It was because of his intense global involvement - his last international mission was as UN envoy in the Iran-Iraq war - that theories of a foreign plot to kill him took hold within hours of the murder. Early suspicions fell on a Kurdish group whose meeting place lay along the gunman's escape route. The lead eventually proved inconclusive. After 10 years of inquiries, commissions, independent working groups and conspiracy theories, few now expect the assassin will ever be found. A recent opinion poll showed a majority of Swedes felt it was time the police investigation was closed for good.
Most seem to favour the theory of a disturbed person acting on his own without a serious political agenda; many still want to believe it was the work of Christer Pettersson, a sometime alcoholic with no particular motive who was charged, tried and acquitted more than five years ago.
One columnist, expressing desperation shared by many at the lack of a culprit, suggested recently: "I propose the government makes a deal with Christer Pettersson: promise him a good pension in return for his confession to the murder."
As for his political legacy, most insiders now agree that one image in particular haunted Palme in the last years of his life: the fact that he saw his successor and political heir not among the comrades in his own party, but in a young conservative politician of the day, one Carl Bildt.
Both came from upper-class, establishment families, though they moved to opposite ends of the political spectrum. While Palme was marching with the envoy from Hanoi, young Mr Bildt was plotting with his Young Conservatives what would one day become the first conservative-led government reforms in Sweden.
With Mr Bildt, after his stint as prime minister 1991-94, now embarked on a full-time international mission in the former Yugoslavia, the parallels are still there. It is by no means clear, however, whether he will come back to lead his party in the next election, due in 1998, to rival Palme's 11 years in power.
The Social Democrats, for their part, have other wounds to heal now. Just over two weeks after tonight's vigil, they will hold a party congress to elect a successor to Ingvar Carlsson, who inherited the party leadership from Mr Palme. The original heir-apparent, Mona Sahlin, withdrew in October after a scandal involving a mild but most un-Social Democratic offence: technical misuse of a government credit card.
Ms Sahlin, seen as the reformer of Sweden's creaking and overstretched welfare system, had been groomed to drag Swedish Social Democracy into the 20th century. The election instead as party leader of Goran Persson, the heavyweight Finance Minister, will in effect be a formality.
He has already had to appease the old-guard custodians of the welfare state and the trade-union movement, by proposing the raising of sickness benefits, which the reformists had fought to cut down.
Palme's inner circle recently disclosed that months before his death, he had grown increasingly distracted on the job; he had been struggling to find a way to step down from the premiership and pursue a full-time international career. Having been deemed too controversial to be UN Secretary- General, he was to have spent the summer of 1986 exploring more realistic challenges. As one ally said: "The problem was, he didn't know how to leave."