Products are recalled almost daily in the U.S. If you visit the Consumer Product Safety Commission website you can read their weekly updates of recalled items. Many of them are products for children.
U.S. toymakers follow the safety rules and regulations laid out in the ASTM F963 Standard Consumer Safety Specification for Toy Safety. Therefore, if you buy your toys from a reputable place and a reputable toymaker, it is likely that the toy is following these safety guidelines. And because of these guidelines, toys and other baby or child products (including clothes, strollers, etc.) are often preemptively and voluntarily recalled as soon as a potential problem emerges.
However, some toys that may be safe for older children are not safe for younger children. And some toys, especially knock-offs of popular brand-name toys, may not meet safety standards. Dangers can include lead or toxic paint, small pieces that break off, electric or battery malfunctions, and toys that are excessively loud.