I like @Canadiancyborg's IR solution, but the same theory can be applied to any other emitter, and RF emitters may be preferable to an IR emitter since IR light can be blocked by intermediate objects. Also an omnidirectional RF transmitter is easier to arrange than an omnidirectional IR transmitter.
The basic theory is that you need to work out which direction a signal is coming from. In order to do that you need to "look around you" and find at which angle the signal is strongest.
A highly directional receiver (parabolic dish, IR receiver with lens, etc) will allow you to sense the signal strongest when the receiver is pointing directly at the source. By then rotating the receiver (either on its own independent rotational system, such as a servo motor, or by rotating the entire robot using the wheels) you can "lock on" to the direction where the signal is strongest and drive towards it.