This is possible in part because Furby is so easy to hack. Its simplicity makes it trivial to replace the original processing power with the Raspberry Pi, and you can upgrade other components with relatively limited effort. It's theoretically possible to use the toy's infrared emitter to control your TV, although that sadly isn't working in the current version.

You need to be handy with a soldering iron to make this work, but you can in fact build it yourself without too much expense. Howchoo's Zach paid a total of $50 for all the materials, including the Furby in question. That's about as much as an Echo Dot, but look at it this way: this is likely the only Alexa speaker you'll see that could scare you senseless in a dimly-lit room.