It is important for you to know what to call the various Lego parts that you use to build your robot as it helps you communicate better with your team mates and it makes explaining your constructions easier.
Bricks

1x2 brick

2x2 round brick

2x4 brick

2x8 brick
Plates

1x4 plate

1x6 plate

2x4 plate

2x8 plate

2x8 plate with holes
Beams

1x2 beam
 

1x 8 beam
 

1x10 beam
 

1x12 beam
Gears

8 tooth spur gear

16 tooth spur gear

24 tooth spur gear

40 tooth spur gear
12 tooth bevel gear

24 tooth crown gear
Worm gear

Gear rack with holes

Gear rack
Bushings

Bushing

Short bushing
Connectors

Black Connector Peg

Grey Connector Peg

The black connector peg is a tight fit, whereas the grey connector peg fits loosely allowing the parts to rotate.
Connector Peg with Axle

Short Connector Peg

- has a Lego stud on the end and is useful for mounting components with their studs at right angles to a beam.

Short Connector Peg with clip

- is good for connecting thin beams to thick ones...or for connecting to the the holes in gears and pulleys, or to the holes in the sides of the RCX
Long Connector Peg (good for connecting 3 beams together side by side)

Axle with stud on the end
Axles

4 stud axle
 

8 stud axle


10 stud axle
Pulleys
Touch sensor

Light sensor

Lamp
Motor