I immediately thought "How does this robot know what a good anchor is?" and after watching the video I have the second question "How does the robot get it's tether detached from the anchor?"
At this point we haven't worked on self-anchoring or detaching yet. Right now the idea is that it would be deployed from a larger rover/lander.
If you're interested in Axel, you should check out the Axel Homepage at Caltech. It has more information about the hardware, more movies, etc.
Slashdot might also be interested to know that Axel currently runs a stripped down version of Debian.
We are using lithium polymer batteries to power it right now. One of our current batteries will power Axel for about 20 minutes. With the current design we could easily fit two of these batteries inside, giving a running time of ~40 minutes.
It's important to note that Axel wraps the tether around it's own body. There's no winch at the top, just an anchor point. That anchor point could be a larger rover/lander or just a rock.
Make it myself? But I'm a physical organic chemist!