Children below 3 years use their mouths more than hands to figure out the objects handed over to them, so liable to be swallowed. Some toys contain chemicals like phathalate or  lead, which may be detrimental to the health when those are tried in mouth.
Parts from toys may break and get lodged in  respiratory tract, nose and ear inadvertently while children pay with the toys. Excessive noise produced by some toys can harm the ear. Read more; http://clinispot.blogspot.com/2011/12/all-toys-may-not-be-safe-for-children.html