I work with MDF quite a lot and agree the dust is a major problem, a dust mask is essential. Regarding formaldehyde the danger is not so cut and dried. All MDF manufactured in Europe has to conform to a certain standard and according to the HSE the formaldehyde given off is insignificant ( this only applies to European manufacturers. Other suppliers may be totally different, check their specs) I only use MR MDF which depending on the manufacturer has no formaldehyde in it. The MR MDF also cuts and finishes much better than the standard stuff. If you take proper precautions about dust it's no worse to work than some timbers such as iroko which can cause irritation.