What you need.
Soldering Iron + solder
Hot glue gun
(A helping hand is nice as well)
Wire cutters or strong scissors
1.5V solar panel ($1)
Small DC Vibrating Motor (AKA Pager motor)
Two paper clips
Scrap wire (I used the ends from a couple of resistors I had cut down. They can be anything.)
Super Cute Option: Googley eyes
I bought a pack of 10 solar panels off ebay for $10. Great for a lot of projects.
I bought my motors from the online store Electric Goldmine for $1.10 each. I like the ones they have because they trigger at only 0.5V, whereas most trigger at around 1.5V. The lower trigger voltage you can get the better because it means that your roach will work under less sunlight. If you do buy from them be SURE to get the motors with the blue casing, not the silver. Silver ones suck for a variety of reasons.
If you don't want to buy these in bulk, I have a kit and prebuilt ones for sale on my website. It's a fun project you can do with kids or makes a great little gift you made yourself.