The Segway looked great when it came out, but it's just too expensive (and slow). There's a cool line-up of alternatives on hackedgadgets.com. My favourites are the Skatanova, previewed by Hackaday a few weeks back and the balancing one-wheeled scooter. The Skatanova is powered with a pair of cordless drills. There are lots of implementation details on its creator, Tony Ozrelic's site. Here's a video of the balancing one-wheeled scooter from ben.jellybaby.net (lots of implementation details on the website):