Polyester Toy Filling
Also known as fiberfill, this is probably the most common used toy filling and the type that most craft stores will stock. This type of filling is extremely safe for knitted toys as it is unlikely to come loose if the toy has been knit to a tight gauge. Look out for bags which state they are Non Toxic, Non Allergenic, Washable and Flame Retardant. Often these fillings will be required to fulfil toy safety regulations such as British safety standard, European standards, CPSC depending on which country you are in. This type of stuffing is fairly inexpensive and can come in bags of a few 100g up to kgs.
Natural & Eco Friendly Fibres
These days children are presented with so many man made toys that it's nice to have a nice natural alternative. A great natural toy filling is some wool roving, however please remember that children and in particular small babies may have allergies to wool and therefore an alternative such as kapok (firmer feel) or cotton (softer feel) may be more suitable. Bamboo is another natural and eco friendly alternative which is apparently lovely to work with.
I would not recommend that you stuff knitted toys with any sort of small loose filling, especially if giving the toy to a small child. Toy safety is of utmost importance as small pieces can present as choking hazard especially to babies who still place things in their mouths. If you would like to add weight to a knitted toy to give it a 'beanie' type feel then i suggest you create a small securely sealed (preferably sewn) fabric pouch (old hosiery is great for this) to place the beads in before inserting into your finished toy. If you choose this method then please do not give to a baby under three or an animal, purely for safety reasons.
You may choose to add magnets to the hands or feet of your stuffed toy to make them 'cling'. Once again this method should never be used if the toy is intended for a baby under 3 or a pet. A light surface wipe is the only suitable method of cleaning a toy with magnets inside, if exposed to water the metal may start to erode inside the toy. If you want to put magnets inside your toy then i suggest you purchase a size large enough that it cannot easily slip through the knit fabric.
Some vintage patterns have called for food stuff such as rice or beans to stuff knitted toys and add some weight to them. I would suggest never using any type of food to fill any knitted toy. Not only will it results in one huge mess or germinating plants if exposed to water but it may also attract bugs and has even been know to attract mice!
Adding a bell or a squeakers to the toy can add interest to the toy. You can often find these specially made for toys in craft stores or on-line particularly on stuffed bear making websites. If giving to a baby under 3 then make sure your gauge is extra tight and that the piece is large enough not to be able to slip through the knit. You can make extra sure that the piece is secure by wrapping it securely in a wad of stuffing before inserting into the middle of the toy.
Another interesting method may be to add a plastic packet sheet (something like a pasta packet) to the middle of the toy before surrounding with stuffing. I have also seen people use plastic shopping bags for the same purpose, however please note that most bags these days are bio-degradable and within a few months of being stuffed will disintegrate into tiny little plastic flakes.
To be frugal you can stockpile those little cut off ends from all your knitting projects and use to stuff your toy with. Not only does this help to save to money buying less stuffing but it comes in handy when you don't want the tell-tale white of a toy stuffing on you finished toy. It also means you get more bang for your buck since you will be using up all the yarn you've paid for.
If you have some fabric on hand, perhaps from sewing projects with scraps too small to use for other projects or even old clothes which are too messed up to reuse or upcycle, then these can all be used as toy filling. Cut up your fabric into little strips and use it to bulk out the majority of your toy. I suggest you use a filling such as polyfill on the outside edges to give the toy a squishy feel and so the finished toy can be shaped easily and not so lumpy.
Similar to the fabric scrap idea, this method will add bulk to your toy. It can be shredded into smaller chunks and wrapped in poly fill for the outer stuffing then this will prevent your toy from being lumpy. It will also provide more support for your toy, for example this type of stuffing would be perfect for the milk and cookie pattern to add some rigidity to the milk toy.
This is a list of the most common methods and is by no means exhaustive, if you have a preferred stuffing for your toy which is not listed here, than leave a comment and let us know.