I actually built a small walking bot for one my my industrial design courses when we were tasked with making a mechanical toy:
Its all CNC'd lexan for the legs and the motors and electronics are from a cheap toy car, the cover is vacuum formed polystyrene and the chassis is welded steel. It was really awesome spending time developing and understanding how to make the legs give the correct motion, it was a neat project. Higher rez pic available over @
http://www.flickr.com/photos/tmbrudy/412339389/