Recalls regarding excessive levels of lead in children's toys (jewellery, painted toys) seems to be a favourite these days. The US Consumer Product Safety Commission has all toy hazard recalls back to 1975 listed.
CBC Marketplace has a newsletter that lists recent recalls, which is how I keep up on this stuff.
The Green Guide discusses problems of PVC, battery-operated toys, cotton & wool, wood, clay, lead, and sweatshops as well as the solutions.
Greenpeace's 2003 Toy Report Card
Natural toy reviews blog from a preschool (former K-8) teacher/mother of 2 living off the grid.