Is it bad to breath in Helium?

Yes, it is. Despite the fact that people make fun of it, it is dangerous.
http://www.science.edu.sg/ssc/detailed.jsp?artid=3773&type=6&root=4&parent=4&cat=36

Here is a site that talks about it:
No one should inhale helium! It is not that helium is poisonous. It is all about replacing the air in your lungs with helium. The inhalation of helium can cut off a person's oxygen supply and can cause dizziness and unconsciousness. If the concentration of oxygen is decreased below 18% within the human body, symptoms and signs of asphyxia (oxygen deprivation) can occur. Helium gas can totally displace the available oxygen and if this is maintained for even a few seconds, asphyxia and death can and will occur.

A little-known aspect of inhaling helium is how quickly you may lose consciousness due to asphyxia. During the exchange of gases in the normal breathing process, the blood stream absorbs oxygen from air in the lungs, while carbon dioxide passes from the blood to the air. When you hold your breath, the exchange of gases slows, as "stale" air in the lungs is no longer replaced by "fresh" air. However, when the lungs are filled with helium, a different process takes over. Oxygen is actually removed from the blood stream during the exchange of gases. Depending on how completely oxygen is replaced by helium, you may lose consciousness quickly and without warning-you may literally pass out while still standing. The usual result is an uncontrolled fall that can cause serious injury, even if normal breathing resumes before brain damage occurs due to lack of oxygen.

Over the years, children and adults have inhaled helium from balloons at parties to produce high, cartoon-like voices. Inhaling helium is often thought to be a harmless party trick that leaves the user with a temporarily squeaky voice. Thousands of partygoers continue to inhale helium thinking it to be incredibly funny rather than life threatening.

Normally, inhaling helium from balloons does not cause much problems, but inhaling anything from a pressurised tank is extremely dangerous. Only recently have pressurised helium tanks become readily available to the general public for use at parties. The high pressure of the gas can damage the lungs as well as send a bolus (a concentrated mass) of gas into the bloodstream. This can lodge in the brain, causing a stroke, seizures and death. Chemical reaction does not cause fatal injuries. Rather, the pressure of gas inside the lungs is the agent that can kill instantly. Autopsies show that the alveoli (air sacs) in the lungs have been ruptured. Death follows immediately, as the victims literally drown in their own blood. Under such circumstances, cardiopulmonary resuscitation is of no avail.

It can be dangerous, because it's essentially taking in another gas in the space your body expects oxygen. IT basically sucks the oxygen out of you. Even a short break in the flow of oxygen can cause you to become unconscious or worse.

Helium itself is not toxic.

However, intentionally breathing in helium in place of air means you are not getting oxygen. If you do not breathe normal air back in your lungs soon, this will shortly lead to a medical condition known as "brain damage" or "death" caused by a process known to forensic pathologists as "suffocation".

It's harmless if you want to breathe in a balloon but if you were placed within a dirigible, it could be fatal.

Apart from the hilarious voice, I dont think small doses does you any harm... But I would go as far as building a Michael Jackson style Oxygen tent and sleeping in the stuff!

(Yes I know I said Oxygen tent... it was the only analogy I could think of.. ;-)

But on Brainiac celebrities breath helium and didnt die but have a really high voice!

Yeah, I had a friend that freaked out when she saw the kids inhaling the helium. She said that her husband worked with someone who he watched inhale helium and he die before his eyes.