Lego is a very popular material for building robots, not least because it is flexible, and modular. Although it is not the cheapest material - its versatility is renown.
The Lego company have created a huge robot following with the Lego RCX as well as the CyberMaster. However - they already had a status - I have seen robot books from the 80's, instructing the reader to create a custom Parallel Port robotics board, and interface it with Lego Motors and parts.
It was the introduction of Technic Lego along with many working gears, motors, pneumatics which really did this for them. Although there are competing construction toys - Fischertechnik and Mechano (known as Erector in the US) - no of them have quite the following or Kudos Lego has. They even have complex gears like differentials and clutches.
I have built with Lego since the early days - at school we had a Dacta system that plugged into a BBC computer, and later the Technic Control Center. Although the RCX is a limited MicroController - it is very easy to use and really brought a lot of people into the robot building hobby.
Time to build your own robot! Using a Raspberry Pi with parts and some time, you can use my book to learn how to make and program a robot with automatic behaviours.