I am always more concerned with how thick/wide a toy is. You can control how much you insert, but if the toy is too wide, you might not be able to enjoy it. Same goes for overly-narrow toys.
I like the "actual size" feature EF uses on the product page; it's been so helpful to see exactly what dimensions particular toys are before ordering. Some of them are way larger actual size than they appear in promotional pictures. And certain toys that look pretty imposing at first glance turn out to be a much more manageable size when viewed in their true dimensions.