Meccano style parts for building moving things ?

Ah, here you go:

http://www.fatbraintoys.com/toy_companies/schylling/erector_set_special_edition_set.cfm?display=main

You get one set for parts to make stuff as normal...

Then another set to use the rail parts to make encapsulated Arduino powered servo drives and sensors, then add those as parts to the first kit.

Not even remotely cheap, of course. One Erector rail framed Arduino block with a remote controlled motor would cost 50 to 150 dollars to build.

But it would be GLORIOUS.