When our son was a newborn to about two-months-old we didn't really have any specific toys for him. He was fascinated with flowing fabrics so sometimes we would dangle or drape a curtain or piece of cloth over the top of him and he would bat at it and really loved it. Our son demanded to be entertained from an early age but generally the things we used to entertain him were common objects used in an interesting or funny way. Even now, as a toddler, he enjoys creative play--manipulating objects to see how they relate (he'll try to stick a marble in a straw to see if it it fits...).
At about 2-3-months-old we introduced a few rattling toys. His favorite was a soft, cloth rattle shaped like a little girl. At this point, other than his rattles he was mostly interested in everyday objects. We also bought him an electric/musical mobile for his crib but it was a 100% waste of money. He really didn't like it and within a couple of months we took it off the crib and it has been in a closet ever since. We were never much for dangling things in his face after that.
When he was about 4-7-months-old we bought him a musical toy that had lights and movement that is meant to be multi-stage (crawling, sitting, standing). He liked that toy and started to use it a lot at about 6-months-old when he started pulling himself up and walking around furniture. The music on it was annoying after awhile but it was useful as a distraction technique when I had to get something done at the moment.
At 8-12-months-old my son's love of balls started. He was also given a few electronic musical toys--one of them by Leapfrog (a drum) that he really enjoyed and that weren't too annoying for us. He still uses it and likes it.
Now, at nearly 2-years-old, my son enjoys playing with Legos and blocks, cars, dolls, books as well as drawing and creating. He has a mini-desk that he sits at with an easel that he can draw and paint at and he also has a mini-golf set which he likes.
Two items my son was fond of from an early age, though were:
His baby swing (electronic and also has a sound/light function) made by Fisher Price. Even now, if we bring it out (he's way too big for it) he'll try to get inside and relive his newborn days.
His baby walker (with a keyboard top with different buttons and sound effect options--can be turned on or off). There is a lot of debate over when to use one of these with a baby. My son used it from probably 2-months on. At first he just sat in it--much like some people use a Bumpo seat. When he got to be about 5-months-old he started walking and pushing himself around in it. I guess it just depends on your baby--our baby had really good head and neck control early on so it was safe to put him in one pretty early.
