I bought one of these on an impulse last summer. Its really cute (I love the uniqueness and somewhat surreal quality of it) and its very nicely constructed. But utterly useless. unless your in the market for a 350$ cat toy.

(I bought mine at the Sony Style store in the now very sad and empty Sony Metreon)
Its nicely made. The sound quality is pretty good and the flaps can help direct the sound for a neat effect. The battery lasts about 4 hours with dancing and it recharges via USB. Its almost hypnotizing to watch (particularly in darker environments where the LEDs are in full effect) Its great at parties But useful for little else.
There's no headphone jack, and the thing is heavy (heavier then any iPod) So it largely useless as a standard MP3 player.
The dances are separate files associated with each song. Rolly does NOT dance randomly like Aibo Dancer. You need to run each song through the choreographer software at least once to generate an .mtf file. the choreographer software can scan the song and generate a dance randomly. Or you can make one from scratch. (which takes awhile) The auto generated dances are OK But not like the carefully choreographed ones. Sopny set up a site where people can upload there dances.
I don't regret buying it. but I don't think I'd recommend it. Somehow Rolly survived Sony's recent cutbacks.