If you don't necessarily like your robot pets all fuzzy and cute, the MIT Media Lab's Topobo is, um, plastic and cute. It's also not quite a robot, but a collection of motorized plastic pieces that have kinetic memory -- that is, you press the record button associated with a particular motor, and it remembers how you manipulated it. Press play and it repeats that motion until you turn it off.
Motions can be fairly intricate -- the first I tried involved a series of varying twists -- and each piece can be connected to the other. The result is that you can create all kinds of strange locomotive creatures. Better still, the axle that connects the pieces is a standard Lego Technics axle -- so there's really no telling what kind of fiendish automatons you can devise.