Divers sometimes use a helium/oxygen mix:
"Heliox is a mixture of helium and oxygen used for very deep diving, usually to greater than 200 feet. Helium's great advantage is that it does not lead to nitrogen narcosis. Helium diving requires as much or more decompression time as nitrogen, so there is no saving there. Beyond 300 feet heliox may cause the 'high pressure nervous syndrome', a shaking sensation that can be incapacitating. Another disadvantage of helium is that it conducts heat about six times faster than nitrogen, so divers get colder than with air diving. A third problem is caused by the fact that helium is much less dense than nitrogen or air; as a result, the vocal cords vibrate much faster and divers sound like Donald Duck. Professional divers can use voice unscramblers to make their speech intelligible.
Overall, helium offers no advantage for recreational divers. Diving with heliox is strictly for technical and professional divers."
There is more information about breathable gas mixtures on the site where I found the above:
http://www.mtsinai.org/pulmonary/books/scuba/sectionl.htm
I would assume that the occasional breathing of a small amount of helium from a balloon as described by dinsdale is not too harmful unless you experience side-effects - in which case, don't do it again!