Many people have designed and built their own Arduino-powered robots, tanks and so on - however Pablo Gindel and Jorge Visa have created an advanced hexapod robot. It has six legs each with three degrees of freedom, which allows for movement in various directions as well as diagonals, and can be controlled via infra-red remote control. See the following video for an amazing demonstration:
Based on an Arduino Mega. the SANSA II is a real work of art and technology. As a base for your own version, consider the Freetronics EtherMega - the Arduino Mega-compatible with onboard Ethernet, microSD socket and optional PoE support:
To find out more, including design notes and Arduino sketch, check out the designers posts here.