Since you're on internet you can find some of these components easily.
Obviously, parts depend on what kind of robot you want to build but here are some parts that I've used:
Microcontroller: 16F877 ( at 20 MHz it is pretty powerfull) or you can use cheaper, but slower (4 MHz) 16F627. The type of microcontroller usually depends on number and complexity of sensors that you want to add to the robot. You also need a programmer for the microcontroller. If you're using 16F627, you can get online schematic of El-Cheapo and build a programmer yourself.
You need an RS 232 chip for communications purposes.
And here are some sensors that you can use:
Ultrasonic: Devantec SRF04
IR: Sharp GPD12
Depending on the size and power of the robot there are a variety of DC motors that you can use:
If you have a smaller robot, try using stepper motors because of their easy control. However, you can use also use some DC motors with H-bridges. You can build your own H-bridge from transistors or you can simply buy LMD18200 H-bridge chip.
To measure speed, you can use encoders. I don't have any part numbers on hand, but there is an alternative in that you can build your own encoder from some parts contained in computer ball-type mouse.
I bet you I forgot to mention something, but a good book to robot design is "Programming Robot Controllers" by Myke Predko.