Cut bananas in half lengthwise, then widthwise; layer in the bottom of a 1-1/2-qt. slow cooker. Combine the brown sugar, butter, rum, vanilla and cinnamon; pour over bananas. Cover and cook on low for 1-1/2 hours or until heated through.
Sprinkle with walnuts and coconut; cook 30 minutes longer. Serve with ice cream or pound cake.