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The lender will want you to "participate in the shortage " if this is a short sale.

You will be required to submit a financial statement.,

Is this your primary residence or investment home? It all depends on what type of residence and what type of loans you have. Do not just walk away from your problem, try to find a solution for it. Rather than just walking away, you can either do loan modification or do short sale. In short sale, at least you have chance to negotiate with the lender to settle everything and even not to follow you for any judgement. Try to work with an experienced short sale agent if you are planning to sell your house. Contact your CPA or tax attorney for any tax related questions.

Blaison Samuel

Lostmymoney, it really depends on the loan you have. Most original purchase money loans are non-recourse, which means the lender has no recourse against your other assets. If you have re-financed and taken money out, or something similar, then your loan is probably a recourse loan, and they could come after you.
Regardless of which you have, expect the lender to run hard at your other assets anyway. It's one thing when someone just has no ability to keep up with the payments or has no other assets to offer. But if you loaned someone money and they just decided not to pay you what they owe, wouldn't you do everything you could to collect the debt?
You might explore loan modification or other approaches to the problem, being aware that there are some scammers out there preying on people in your position. Consulting a reputable attorney with expertise in situations like your is the best first step for you. Good luck to you!