Has anyone experience of COGO (the building block kit that looks virtually identical to LEGO? It seems rather less expensive. Is the quality as good?

No, but reasonable. There are also some other brands available in Thailand, same price and better than COGO, but I only see these on markets and stalls in malls, not in stores.

Cogo blocks sometimes don't fit exactly or loose.

I don't know about the toxicity of the plastics (made in China)

Instructions not so clear like Lego.

Very interesting price, although not that cheap for the lower quality

I was wondering the same and tried it out two times. The pieces are too loose, it falls apart easily compared to Lego, doesn't fit that well. It's not worth it, I would get Lego.

The only time I would get Cogo again, if it was the tiny size box, for 60 Baht or so, in a situation where I know the kids are so small that the pieces will be lost within a day anyway and thrown / sweeped away by Thai family members who are used to cheap toys that only are supposed to be kept for a few days and don't think twice about throwing stuff in the bin.