Well, like many of you, I shopped over the Thanksgiving holiday. And I heard a lot of muttering in the toy section of various stores about "Made in China" and "safe toys." Once in the toy aisle, it is hard to determine whether any particular toy is safe. From the packaging, you may be able to tell whether the toy was made, but you can't usually tell whether it has lead paint, or how the manufacturer verifies compliance with safety standards, or whether it has phthalates, or any of the myriad of questions you may have.
The best bet is to do your research before you go shopping. If you know what your child wants, then you can research information about it on line. Many toy companies now have published safety statements about how they comply with the applicable safety standards. You are looking for whether they rely on their suppliers, require independent testing, perform random checks, etc. The more independent verification, the more comfortable you may be that the toy is actually achieving the applicable safety standards.
If you are trying to find more "natural" toys – a term I use loosely – look for information on the material used in the manufacture. For example, if it is a wood toy, look for whether the wood is sustainably harvested. If the toy is colored, look for plant based dye over paint. If the toy is a textile, look for whether the textile is treated, and whether it is organic, etc.