Step 1: Parts List
a) Teddy Bear - The most important thing to keep in mind is that your bear should be big enough that the LED's fit reasonably well in it's head. I bought one bear online and it turned out to be too small for this version of the LEDs
b) Scanning LEDs - There are several online kits available with the necessary LEDs, resistors, etc... to make your own scanning LED array. I used the one from Thinkgeek, but I also picked up a smaller version that I may use in teddy bear Mark II.
c) Blaster Gun - Not a big deal, but once I had a bear I was able to pick out a gun that looked about the right size for him. Cylons are often shown with blasters so I didn't want Mark I to feel left out.
d) Audio - To get the signature "By Your Command" catch phrase I picked up a few different versions of your stock greeting card/toy voice recorder gadgets. I had planned to use one type and set the button in his paw, but I ended up decided to use the small white hockey puck version pictured below and actuating it by squeezing his nose (it just seemed cuter that way).
You'll also need fabric glue, a zipper, wire, electrical tape and heat shrink tubing.
Oh, and I also used an on/off push button and a momentary on/off push button to control on/off and the speed of the LEDs (the kit I used has 3 speeds controlled by a momentary on/off button that triggers the speed change)