The Handy Bug (or a robot very close to it!) can be built using the following LEGO sets:
To make adapters from the LEGO connectors to the Handy Board, you'll need 0.1" header pins, Digi-Key part number 929400-01-36-ND, about $2 each. Each item has 36 pins, enough for 9 Handy Board sensor plugs or 12 Handy Board motor plugs.
Also, Gleason Research has a sensor/motor kit that is a very good value.