Update! The Urban Legends Reference Page reports an incident of death by huffing Dust-Off brand canned air, apparently by asphyxiation. Dust-Off contains difluoroethane, and can be used to get a small and short-lived buzz from oxygen deprivation.
The compressed air in canned air dusters is either tetrafluoroethane or difluoroethane, both used because they have many attractive properties for a basically safe, effective, inexpensive, and convenient duster. The only real dangers are the highly unlikely possibility of asphyxiation (you'd have to be trying to kill yourself with such a small canister, and even then it probably wouldn't work) and, in the case of difluoroethane, a slight fire hazard. Tetrafluoroethane is not flammable.
The dangers of canned air are so small as to be all but ignorable, at least when not deliberately inhaling it. These two gasses are simple asphyxiants, which means that they displace oxygen in the area when sprayed. This isn't much of a problem for the average consumer, even though difluoroethane is heavier than air, since air dusters come in relatively small containers and are meant to be used in short, controlled bursts. Even a small room contains far too large a volume of air for asphyxiation to really become a threat.
Although I am unaware of anyone being overcome by canned air fumes by accident, there have been rare cases of difluoroethane catching fire. Rare because in order for this to happen, a very specific set of circumstances must be met. Difluoroethane is only flammable in a fuel/air concentration of 5.1-17.1% by volume, and is heavier than air. Most of the reported fire cases were caused by someone spraying out the catch bin of a paper shredder, where the heavier than air difluoroethane pooled at the bottom of the bin in the required concentration and was ignited by static electricity. There is no good reason to air dust a paper shredder bin anyway, so my advice is to just let those last few stubborn bits of paper go.
On the bright side, air dusters have many chemical properties which make them attractive for air dusting. First, they are generally non-reactive with most substances, so they are safe to use with delicate electronics and just about anything else you want to spray down (and do not contribute to the depletion of the ozone layer, although they are mild greenhouse gases). Second, they are canned with a high degree of purity, meaning that there are very few substances like moisture mixed in to cause problems. Canned air is very dry and very clean, leaving no noticeable residue of any sort on your equipment.
But the most attractive property is a low vapor pressure. At 25° C, difluoroethane can be liquified at a pressure of just 87 psi. That's just over half the vapor pressure of propane. This means that a large amount of canned air can be kept at a safe pressure in a relatively small can, which is what really makes it ideal for the average consumer. At 87 psi, some of the difluoroethane will be liquid and the remainder will be gas, with the liquid level falling as the product is used. So long as some liquid remains in the can, the gas (which rises to the top) will be pressurized enough to spray a nice, clean puff of cleansing air across your dusty electronics. If kept at a constant temperature of 25° C, the pressure will only fall below 87 psi if the the liquid level falls to zero, and only rise above 87 psi if completely full of liquid and more is forced in (this should not be a situation occurring in the average consumer's home or office).
There is just one downside to storing difluoroethane as a compressed liquid. All cans of compressed air come labeled with a warning not to shake or tilt the can during use. Of course, most people don't bother to read the directions (it's a can of air, how complicated can it be?) and immediately give the can a good shake, because that's what you do with spray paint, hairspray, bug spray, and just about everything else that comes in a spray can. Unfortunately this defeats the entire purpose of the canned air! Shaking the can causes the liquified and gaseous difluoroethane to mix together, and some liquid will be sprayed out with the gas. But the whole reason this stuff is marketed in the first place is that it's completely dry – no moisture is supposed to be expelled with the gas.
Tilting the can causes a similar but more dangerous problem, the liquid reaches the spray nozzle and is expelled in a frigid cone that can cause frostbite and crack plastic, as well as condense moisture in the air on the target area. The reason for this is the heat engine cycle, the same thing that makes a refrigerator or air conditioner work. It takes energy to compress a gas, and therefore energy is lost when the gas is de-pressurized. This manifests itself as a sudden drop in temperature, and in the case of a liquified gas this drop is substantial. This is also noticeable on a smaller scale as the product is used up in normal operation. As the liquid level drops, the can gets cold.
Used properly, difluoroethane air dusters are extremely safe and convenient solutions to dust problems on equipment that would be damaged by traditional dusting methods.