Even as supplied by an unscrupulous underground market and taken blind by consumers in a variety of unsuitable ways, they really aren’t very dangerous:
According to the ONS data, in 2010 there were more helium deaths  than cannabis, ecstasy, mephedrone and GHB related deaths put together.
‘Helium?’ you may ask… It’s classed as a drug but no, it doesn’t do anything. But it is so hard to buy anything reliably lethal in the UK that helium is a sophisticated means of self-asphyxiation for suicide. So even those 32 cases should not be classed under malign side effect of drug-use. Death in those cases was a positive result.