Scattered throughout the desert of the Lone Ranger Play Set are chests that can only be opened by a specific character, here are the locations for all six of those chests.
Lone Ranger Costume
There is also a special Vault that requires both of the Lone Ranger characters to unlock.
Colby Toy Box
After finding the set reward the remaining chests will give you a randomly chosen item from this list:
Cavendish's Shotgun Man
Cavendish's Pistol Man
Cavendish's TNT Man