Invented in 1981 by John W. Jameson, the Walking Gyro is a simple toy that relies on a spinning flywheel and centrifugal forces to take tiny, but steady, steps. Mattel patented the design, but never actually put it into production. And now that its patent has expired, there's a free 3D-printable version that anyone can make themselves.
But don't worry if you don't have a perfectly balanced metal disc to use as a flywheel. Jeffrey Kerr's version has a plastic flywheel instead that you simply weigh down with 104 pennies. That heft, and the magic of centrifugal forces, is what allows the tiny toy to lean from side to side and walk all by itself.
If you're lucky enough to have access to a 3D printer, Kerr's posted assembly instructions for his creation over on Instructables. And the requisite 3D models can be downloaded from Thingiverse. Digging through your change bowl for weights, though? That's all up to you. [Instructables via Thingiverse via Make]