Another very talented toy maker just posted a super useful tutorial for putting toys together. She has nice clear pictures of a few different stitches I use regularly. The only comments I might make are that on the vertical mattress stitch, I leave the line of sewn stitches looser so it looks just like another row of knit stitches (I use this stitch for the tops of bunny feet). I also attach the toy limbs so they are jointed, rather than fixed in place, but the technique you use really depends on how you want the finished toy to look.
This simple diagram shows how I attach the limbs, although the stitches across the tops of the limbs are horizontal, not vertical as they appear in the drawing (drawing horizontal stitches is a little hard in 2-D). I run the yarn through each limb 2-4 times, depending on how much loving I think the toy might get :)