We're going to be building into a slope and want a walk out basement, and I'm trying to wrap my head around how this is handled in regard to the frost line and footing depth.  Since the exposed side is at grade, that would place the footing at/just under grade as well.  Do we need to do something like this -

- so that the footing (and wall) extends below the basement floor and down past the frost line on the walk-out wall? 
Or might there be a soil engineered and insulated option, something like this, to add to the basement level and footing that rises above the frost line?
Just trying to figure out what common practice is, especially for ICF.  Thanks

It depends on where you are building. What is the frost depth where you are building?

Where I'm building a walk-out basement here in Arkansas, the bottom of my footing on the walk-out side only needs to be 12" deep.

If you need to go deeper to get below the frost line, another option to look into is a Frost-Protected Shallow Foundation (FPSF) on the walk-out side. Google for more info.

Here is a start: http://www.toolbase.org/Technology-Inventory/Foundations/frost-protected-shallow-foundations

Yes, FPSF is what I was thinking, just didn't have the standard name and acronym down. Building in NW Vermont, I think the frost line is 42-48", so that can mean a substantial step down and extra wall vs. FPSF

I build in MN and I think you are better off with a full frost wall than FPSF.

That's exactly the way we do it over here in the Adirondacks. It's a simple method, just excavate below the frost line into the slope.