There are handful of ways to break down a list of the major components of a robotic device.
For example if one was to build a humanoid robot they could elect to make it an electronic robot or opt for either a pneumatically controlled one or a hydraulically controlled one. Your parts selection are therefore quite different.
But essentially the main parts are the same.
1. frame or the structure of it with all the related nuts and bolts and wheels and head or fingers called manipulators.
2. the power train which could be the servo motors in an electric robot. The robot may move easily on wheels or tank like treads or it may have legs to walk and to navigate rough surfaces.
3. the sensors that allow it to move or detect things in its environment. An autonomous robot needs sensors so it can move around its environment without the user pressing buttons. It would have touch sensors and edge detectors to not fall off a table or hit a wall. It could detect sounds or understand speech if had the software for that.
4.actuators and end effectors
5. the power supply which could be Li Po lithium batteries or an AC plug into the wall configuration.
If we were to build a humanoid robot then we may want it to move and look like a human. One reason we see so many 1 foot tall robots and so few 5 foot ones is the great weight of a large robot which requires so much more power to move it and much heat is generated.
A human sized robot could weigh 300 pounds because it may need dozens of servo motors in the head and shoulders alone and dozens for the arms and legs and hip. The number of batteries and motors and metal or plastic brackets adds up in a hurry.
Then you may want it to look like a person so you may need to create artificial skin from latex or some type of rubber and add hair and try to keep the robot from catching fire or cutting a hole in the skin.
Here are some places to shop for your robot parts.