The basics:

1) Tiny clay particles are dangerous if inhaled.  Over time, they can cause serious damage to your lungs.  Always sand in well ventilated areas with a mask.  When cleaning up, use "wet" cleaning such as a sponge or mop, as opposed to "dry" cleaning such as sweeping to avoid kicking up dust.  A special vacuum must be used which can filter the small particles.  Even plain HEPA filters do not eliminate 100% of small particles, as most HEPA's are rated for .3 microns (3/10ths of 1 millionth of a meter) but some clay particles are in the .1 micron range.  

2) Glaze chemicals are often toxic.  Always make sure your kiln is in a ventilated area, or use a kiln vent such as an Envirovent.  Even a kiln load of bisque can contain hazardous materials that burn out and should be vented.

3) Always make sure glazes that contain lead or barium are not used on pieces that could conceivably be used for food or drinking.  If in doubt (you're never sure what someone else might do with your pieces) err on the safe side, and use dinnerware safe glazes.