Breathing wood dust isn't good for you. It's been pretty well-established that the dust that's the worst - the smallest particles - is the least likely to be collected, and most likely to pass through your dust-collection system and be recirculated around your shop. MDF dust is some of the worst; it's not only mostly fines, but each particle is saturated with urea-formaldehyde glue, which gives off toxic gasses on a micro-scale: eLCOSH : Medium Density Fiberboard (MDF) Safety for Carpenters
Other wood products, even natural woods like rosewood or coco-bolo, are known to be high in toxic compounds that the trees develop to protect themselves from insects.
Here's an article about the micro-particles I mentioned, that aren't captured by normal dust collectors: The Dirt on Wood Dust - Clear Vue Cyclones Apparently it's a good idea to wear a dust mask in the shop - after reading some of this stuff, you might never want to take it off again...