What are some "must-have" sensors or shields for an Arduino robot or motor?
It largely depends on your interests but since you've mentioned robotics, a motor shield, motor power supply, and one or a couple of hobby servos or DC motors will get you started on learning about controlling mechanical motion. You may be able salvage a DC motor from something else, like the vibrator motor from a dead cell phone.

If you want to start inexpensively, a few LEDs and a ~200 Ohm resistor for each one, and a couple of light or temperature sensors will give you plenty to play with. It's amazing how much real-world data you can collect and infer from a couple of well placed temperature sensors.

LM34 and LM35 are inexpensive and easy to use analog thermo-sensors that read directly in 0.01 Volts / degree (Fahrenheit and Celsius respectively), so only minimal arithmetic conversion is required (because along the way, you'll learn about Analog to Digital conversion, too).

Get some experience with those simple parts, and the coding to make them useful, and you'll have a much better idea of what you want to do next and what you'll need to acquire to do it.