Which area are you looking at, and what budget? I would recommend the following stores in Central:
1. Sally Coco -
http://www.sallycoco.com/ - on the escalator, look for it after the Stanley Road intersection above Tommy Hairdressers (they do pretty good haircuts!). More of a higher-end 'lifestyle' sex store, but has good quality imported items.
2. Pink Pussycat -
http://www.pinkpussycat.com.hk/ - wider range of items, located in LKF
3. Showtime Lingerie -
http://showtimeconcepts.com/en/ - on Hollywood Road, primarily lingerie but a decent selection of toys as well.
Pretty sure there'd be some in CWB, TST & Mongkok as well, but personally never tried them (I remember seeing one in Mirador Mansion in TST).
