Personally, I would choose wood.
1. Easy to shape
2. Easily available
3. Low cost
5. Non-Conductive (no worry for short circuits)
1. Can be really heavy or too dense (depends on type of wood)
2. Cannot bend easily
3. It will absorb water and start to disintegrate
4. Can crack/split easily
(A bit unrelated) I've heard many great things about sintra. A plastic which bends easily at low temperatures, can be cut easily, and does not require specific tools for shaping. It works well with glue and apparently, you can also get sintra at sign shops as scraps for low prices. This material might also be suitable for your robot (I've never used it before, but I plan on it in the future).
Good luck with your robot!