Absolutely right, ask anyone who was a kid during the initial (79 + 80s) Star Wars toy craze who went from store to store chasing the Jawa figure. Or you can ask my Dad and he will have a long critique of the situation.
Only time I ever heard my Dad utter MFer was after months of looking for the Jawa, which only one kid in the neighborhood had, we turned the corner at a K-Mart and found a whole isle of them.
How does Lego do marketing? I don't think I or my parents have ever seen a Lego ad in my life, yet I played with legos as a little kid and I still play with Legos :)
Lego seems to have plenty of ads at least in my area. If you watch kid's cartoons in the 5-9 age bracket you'll see a lot of their ads for special packs like Lego Space Adventure, etc.
Apart from whatever official marketing they do, they're also simply a very well-known and well-regarded brand. Even the word "Lego" is basically synonymous with the whole market segment they're in.
Finally, Lego sets are just addictive (as I remember well from my childhood). I think I got my first one by accident--it was a tiny $3 (or something) set because the matchbox cars I liked back then weren't available. This was years ago so the details are fuzzy, but I still remember which set it was :) After that I was completely enthralled by Lego and continued getting more and more for years. Ultimately, the only reason I stopped playing with them was because I got even more addicted to programming. That alone must supplement their conventional marketing by a large amount.
I'm gonna guess you haven't spent much time around kids ;)
How much a kid wants a toy is directly proportional both to how well it is marketed, and to how much their peers want it (which, since their "peers" appear in ads for the products, is really just a proxy for how well it's marketed). See http://en.wikipedia.org/wiki/Pogs#Popularity and http://en.wikipedia.org/wiki/Beanie_babies#Marketing_strateg...