We used to buy Magnetix. http://en.wikipedia.org/wiki/Magnetix
They were great fun...simple...self assembling, but you could do some fun things. It seemed like a great toy for kids. After we had gathered a sizable collection, we heard about the warning of swallowing the magnets. Coincidentally we also started noticing the magnets falling out of their plastic housings.
So, we heavily increased the supervision as the kids were playing with them. Made sure to keep everything glued in tight and or disposed of. Basically I guess that means I'm a responsible parent.
In the end though, we stopped buying them and switch to a toy that was less hazardous. That means the warning effectively became a ban ...for my house...
I think that's how it should work with pretty much everything.