My first peek of the Sony Rolly was through the video below, and I watched it entirely in order to try and figure out what I was watching. It seems the Rolly is a miniature boombox, with integrated speakers, lights, and movements all combined in an egg shaped music player. By the end of the video, the tiny size of this new Rolly can be determined and well appreciated.
Rolly.tv is the unofficial Sony Rolly site, which has links, news, and additional information. There is also the Sony teaser campaign site of Rolly Show, which has videos, pictures, and a mailing list about the mysterious Rolly.