In most cases the oily substances that accumulate on the surface of vinyl over time are chemical plasticizers or other additives used to change the properties of the base PVC (polyvinyl chloride, aka vinyl). They make it softer, clearer, etc.

If toys were made with straight PVC without plasticizers they would be very, very hard (think PVC pipe...it's the same stuff, just with different plasticizers than the ones used to make vinyl soft for toys).

The thing to remember is that vinyl is essentially "breathing" all the time...if you seal it in something and leave it there long enough you're probably going to see some sort of residue eventually. Of course it changes from batch to batch, factory to factory. And Ralph, I think you're onto something with the idea that perhaps recycled vinyl may be part of the issue. In the end, the fact is that vinyl is complex, and sometimes the various parts just don't want to stay together.

This is a pretty good overview of the history and manufacturing of vinyl:

http://www.azom.com/Details.asp?ArticleID=987