In the Toy Story films it seems like nearly all toys know that they are toys meant for children to play with. However Buzz Lightyear (and other Buzz Lightyear toys like him) thinks he's a real space ranger and nothing short of his own arm breaking off convinces him otherwise.
At one point Buzz even reverts back to believing he's a space ranger, not a toy.
[Lotso] resets him to his original space ranger persona, which also resets his memory.
How is this possible? Why is not knowing he's a toy Buzz's default setting while every other toy's default is to know they are toys? Why doesn't Buzz know he's a toy?
Answer
As phantom42 points out in comments, the other Buzz Lightyear and Emperor Zurg dolls believe they're real, but we do meet some other toys that might qualify as "fresh out of the box": the aliens in the claw machine.
BUZZ: Who's in charge here?
ALIENS: The claw!
They certainly don't seem to know they're toys. Their worldview is based entirely around the mechanics of the claw machine; it's all they know.
Similarly, it looks like, prior to being bought, all Buzz knew was the Buzz Lightyear line of toys:
The aisle seems to be filled on both sides with Buzzes. I'm surprised they even know who Zurg is! He must be described on the back of the Buzz Lightyear box.
From these examples, it looks like toys aren't aware of the human world, or of their existence as toys, by default. We can infer that, after they first "come to life" (in the place where they're to be sold, or on the Target delivery truck) their understanding of the universe is a tabula rasa that they fill in with whatever clues are available: product packaging, giant godlike claws, etc. Once they get purchased and unboxed, and get to interact with the world a little more, they develop a more nuanced worldview and culture like the one we see in Andy's room.

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