This post has been updated and expanded here: Classic European Toys.
Toys that are well-designed and made with renewable materials are optimal. European toys often fit this description. This durable block set, for example, is made in Germany by Haba using solid, natural, untreated beech wood that is harvested from sustainable forests. Toys like this are known for their longevity — they can be enjoyed by multiple generations of children.
One other consideration is the amount of energy used to transport these toys from across the world. It would be more optimal to purchase toys that produced locally. However, there are few manufacturers in the U.S. who produce sustainable toys (I may cover some of these companies in a future post).