In general, physical robots consist of 3 main parts: a programmable "brain", one or more moving parts, and one or more sensors. The "brain" may come pre-programmed so that the user is not able to change the behaviors of the robot. One of the most commonly used robot "brains" is the Basic Stamp http://en.wikipedia.org/wiki/BASIC_Stamp It's relatively easy to program this chip, and you can create a wide range of behaviors for it.
The company's home page has a lot of tempting robots and components http://www.parallax.com/
Choice of "brain" (and added memory) is the most important factor in determining what a robot can do and how easy it is to program. Needless to say, industrial robots do not use Basic Stamp chips as their "brains."
Choice of power supply also dictates how much a robot can do. It takes a lot of power to move a 150 pound humanoid machine -- only recently have robots like ASIMO been able to step away from the power cord for a few hours at a time.
A simple, programmable web emulation robot can be found here: http://home.att.net/~David.D.Barnett/tutorial.html You can program Karel to do a number of differet behaviors.
