From all the Star Wars characters I guess that Darth Vader and the little R2-D2 are the most popular ones, maybe that is why ThinkGeek has recently added the robot to their extensive list of cool products.
Anyway, the R2-D2 action figure comes with a small light saber that acts as the remote control and works via infrared.
While making use of the R2 you can either make the robot go forward or rotate, but the best features are: realistic sounds + turning head + Red LED located in its eye.
Each one costs $30.
Take a look at the video of R2-D2 in action and see how fun it is: