I would check out the Ghetto AVR 'ible, on this site. That guy's information is very useful for starting with MCU programming. Then, you should take a class on C programming, and check out some of the robots on this site. Another tack would be to buy one of those snazzy "serb" robot kits that someone has on Ponoko.
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Start with a beetle robot, then progress to mousebot.After that, you may want to try going down the microcontroller route or the BEAM route, depending on your personal preferences.
Um... a little more information here?
Before you begin to make robots with real 'brains', I suggest starting off simple. Building a collection of VibroBots will give you practice ordering parts, assembling, and experimenting with small mechanical parts. A VibroBot is essentially just a pager motor and a battery.Building a BeetleBot could help you begin soldering, circuits, and more advanced assembly. A BeetleBot's electronic components are just a pair of motors, a pair of switches, and some batteries.