The best toy your Border collie can have is you -- your attention, your love and your creativity. Not that he can't think up things to do all by himself, but you probably won't like them. Make the right play choices for him, even if he argues with you.
Chew toys are important for a Border collie, both to satisfy a primal need and to help clean his teeth. Heavy rubber toys with lots of bumps and bristles can entertain your buddy for hours, but check these objects frequently to be sure he's not taking off chunks and swallowing them. Rawhide toys don't last as long and carry the same caveat. Real bones are an issue --- some feel raw bones are good and safe, others are convinced they're evil. Cooked bones -- especially poultry bones -- are splintery and dangerous. The safest bone for a BC appears to be a raw beef shank marrow bone with some meat (but no fat) on it, cut three to six inches long. The size is appropriate and the marrow is irresistible.
Me 'n You
A Border collie is a herder, not a retriever, but most will willingly chase a ball and bring it back until he's exhausted or, more likely, you are. He can even cut you out of the loop by learning to use an automated ball thrower and put the ball back in the hopper all by his lonesome to be thrown again. A flying disc is another interactive fetch toy Border collies enjoy, and this can be expanded into a competition sport called "dog disk." He'll jump hurdles, run through tunnels and walk the high wire while you run ahead and direct him on an obstacle course called dog agility.
For times when you can't be with your Border collie, try providing him with what the Brits call a "coodly toy," the canine equivalent of a teddy bear. It should have no small parts, such as buttons or squeakers, that could be pulled off and swallowed. Some dogs like to have this type of toy with them when they need to be crated or when they sleep, while others will just rip it to shreds. Knotted cotton rope can be made into a multipurpose dog toy that can be use to play tug, but can also be used as a chew toy; these are cheap, durable and washable.
Puzzle toys are ideal for Border collies because they challenge them mentally. These are hollow toys that can be loaded with treats and given to the dog to roll around, pull on or otherwise manipulate to get at the goodies inside. Some are simple and some more complex, but you can make even the simple ones more difficult by changing the contents (peanut butter or cream cheese instead of kibble) or layering them (peanut butter or cream cheese on top of kibble) or otherwise jazzing up the contents (put in peanut butter, then kibble, then more peanut butter and then freeze the whole thing). Other challenges can be interactive. Give your BC's toys names and teach him to retrieve them by name. Touch one very sparingly with a scent (try a kitchen spice like cinnamon or vanilla) and hide it somewhere in the house, then make a game of tracking it down -- he may not be a bloodhound, but he still has a good nose and will enjoy using it.