First toys should be colorful, easy to hold and safe to chew on. Babies' eyes need the colors to develop sight and keep them interested. They also need something that is easy to hold since they are developing their grasp and learning to coordinate with hands and eyes. The toy should also be safe to chew on since once they develop coordination, everything goes in their mouth.
Teething rings and rattles are usually the first 'toys' babies can play with. I wouldn't recommend stuffed animals right away since they might have small choking hazards (eyes, buttons, noses...). If they do have stuffed animals, monitor the playing time. There are some stuffed toys, however, that are free from the choking hazards (Carter's My First Doll, for example) or just have colorful fabric and tags.