You can connect your Scratch projects to the physical world using several different kinds of devices.
1) MaKey MaKey
2) LEGO® WeDo™ Robotics Kit
3) PicoBoard (also known as ScratchBoard)
4) Kinect2Scratch using Microsoft Kinect
Each of these work with Scratch 1.4. So far only MaKey MaKey works with Scratch 2.0 Beta, with support planned for the other devices.
(Additional how-to information and links will be added here soon.)