HealthyToys.org is a website I highly recommend looking at before purchasing toys. The site has a list of 2200 toys that have been tested for toxic chemicals. You can search for the toy you are thinking about buying and see what toxic chemicals were found. They have a link that shows the best toys to purchase and a list of the worst which should be avoided. Below is an example of what the results page of each toy test looks like. These twist up crayons have a "high" level of mercury.
With most toys being manufactured oversees, I believe parents need to research toys before they purchase. This website is a great resource.