Steering is an essential component of building a Robot. What fun is a machine that can only go forwards and backwards?
There are a lot of different ways to steer a robot, and one of the most common one is to build a rack and pinion steering drive. The steering drive is used by basically anything with a steering wheel, it's set up so that a gear on the end of the wheel (called a pinion) is meshed with a rack connected to the wheels.
The rack is set up such that there are two degrees of motion, on either side of the set-up, and there's also a non-moving piece to give the wheels something to rotate around. Here's a good (non-lego) diagram of the system:
Now implementing the rack and pinion system into Lego form is tricky, but there are tons of unique solutions out there that I encourage you to take a look at. A quick google search of "Lego Steering Drive" will pull up some really cool results.
In an effort to demonstrate on possible model for a Lego steering drive, I built this:
The steering shaft is controlled by an independent motor, and by playing with the rack sizes, and wheel spacing, you can manipulate the turn radius as well. Building a solid chassis is important for steering drives, as they can quickly become heavy, and excessive moving parts can put stress on a robot. I locked mine with perpendicular blocks you can see laying across the underside, beneath the steering column.
Here's a view on the pinion gear meshed with the rack, it's important to make sure the pinion has enough torque to turn the whole system. Locking gears, and jammed motors are a nightmare to builders.

I'll leave you with a video displaying the turning radius and the piece movement involved with the execution of the drive:
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