The Action Lab looks deeper into why strange-shaped objects like this octohedron can roll. A lot of it is about friction, or lack of slipping. Part of the issue is probably materials as well, as an object has to be sufficiently dense for the rolling to continue. These heavier objects just need a shove of energy to get them going, then their linear and angular momentum do the rest.
There's also a dodecahedron version, but those appear to be harder to roll in a straight line.
Image: YouTube / The Action Lab