Pololu has a great little tutorial on how to make the hexapod walker shown here.
Pololu is an electronics company started by 3 former MIT students and based in Las Vegas. For about $70 in parts that are sold by Pololu, you can build yourself this fun hexapod robot.
Six-legged locomotion is a simple, robust system of walking that is very popular both in the animal kingdom and among robotics hobbyists. Robot hexapods range from simple one-motor toys to advanced platforms with 18 or more servos. This tutorial shows you how to build a very simple autonomous hexapod robot using just three servos. The 2″-high hexapod is capable of walking forward and backward, and can turn left and right. Two forward-looking distance sensors provide obstacle avoidance. The brain of the hexapod is the Pololu Micro Maestro, a 6-servo controller that can read inputs and play motion sequences in a stored script.
Click through for a video.