Okay, that's not strictly true. At the moment, RHex can only traverse most terrains, hurl himself over gaps around a couple of feet, and pull himself up onto ledges several times his own height, which has been enough to get him nicknamed "the parkour robot."
Legs have an advantage over wheels when it comes to rough terrain, but the articulated legs often found on walking robots require complex, specialized instructions for each moving part. To get the most mobility out of RHex's simple, one-jointed legs, Penn researchers are essentially teaching the robot Parkour. Taking inspiration from human free-runners, the team is showing the robot how to manipulate its body in creative ways to get around all sorts of obstacles.
I've read that paragraph three times, and all I can get out of it is "NO DISTANCE OR GAP OR HEIGHT WILL DETER RHEX. HE WILL KEEP HUNTING YOU PUNY HUMANS UNTIL THE END OF TIME." If you'd like to learn more about RHex, the IEEE has an excellent interview with Johnson here; I assume Koditschek is busy teaching RHex how to unlock doors and see through disguises.