Robots come in all shapes and sizes. I'd recommend starting simple with a kit. In general what you will need is a sensor like the Sweep, a brain (computer or arduino, etc), and some motors. It really depends what you are trying to make it do! There is a ROS package for Sweep here. There is also an Arduino library as well.
P.S. Here is a good site for robot kits with everything you need to get started.