The answer is yes, and you can play with them at [MoMath](http://momath.org/). Specifically, the [Twist and Roll]() exhibit has several convex shapes, which will roll arbitrarily far sideways when started at an angle that is not directly downhill. [](https://www.youtube.com/watch?v=L_z04poueUA) Click the image to see a video of the exhibit, which shows the motion of several of the objects.