The bulbs are not directly dangerous to your health. Halogen lamps, however, have a higher incidence of exploding and/or catching fire than florescent or incandescent bulbs.
Halogen bulbs burn very hot. Many fire departments around the world have issued warnings about them. In certain types of fixtures can be dangerous. Torchiere lamps should not be used around children because they can be easily knocked over and cause a fire. You just need to use common sense around any type of heat generating lamp.
Although halogen bulbs burn longer than traditional light bulbs, but not as long as compact fluorescent bulbs, they can pose a fire hazard as they burn very hot. The biggest caution has to be keeping the bulbs away from drapes or other flammable materials and avoid touching them.
Halogen bulbs are safe if used continuously for several hours. They are dangerous only if they are overheated as this can lead to catch on fire. Their advantage is that they last for a long time. Moreover, if you touch it with your bear figures than it can the bulb can be damaged.
It hasn't been decided definitely. In 1992, the University of Genoa in Italy released a study linking halogen bulbs to skin cancer. The FDA claims that there isn't enough evidence to warrant action.