cuddly (BrE), fluffy (esp. BrE), plush (AmE), soft (BrE), stuffed
clockwork (esp. BrE), electronic, mechanical, wind-up
plastic, wooden
construction, educational, learning
squeaky
favourite/favorite
My son has lost his favourite/favorite toy.

expensive, new, shiny (all often humorous)
He loved buying cars and expensive toys.
My husband's abandoned me for his shiny new toy.

child's, children's
executive (esp. BrE)
Desktop publishing is probably the best executive toy ever invented.

boy (informal)
She introduced me to her handsome boy toy (= younger lover). (AmE)
Forty-two-year-old James showed us his favourite boy toy: a train set. (BrE)

sex

play with
grab (esp. AmE), snatch (esp. BrE)
Stop grabbing Debbie's toys!
Freddie kept snatching toys from the other children.

pick up (esp. AmE), put away, tidy away (esp. BrE), tidy up (esp. BrE)

department, library (BrE), shop (esp. BrE), store (esp. AmE)
All kinds of games can be borrowed from the toy library.

company, industry, maker, manufacturer, retailer
box, chest, cupboard (BrE)
car, gun, piano, soldier, etc.
boy (BrE,informal)
She has a 17-year-old toy boy.

Toy is used with these nouns:
aeroplane, boat, dog, gun, piano, soldier, store, train, truck