If you're the type of person who throws up their arms in horror when they see an 'E number' on a product, start running about in a blind panic. Otherwise, relax ;-)
MSG is often listed as E621. The whole point about the E-numbers system is that it provides reassurance about the safety of food additives. Anything with an E-number has been extensively tested, and declared safe, by EU scientists. Despite a great deal of scare-mongering, nothing has convinced those EU scientists that they should withdraw MSG from the list of approved additives.
However, there is general agreement among health officials that a low-sodium diet can help to reduce problems with high blood pressure. So it's considered unwise to add too many sodium compounds to food. (This usually refers to common salt but MSG also adds to your sodium intake). So, if you're already cutting back on salt, adding MSG will undo the good work. However, if you're happily throwing loads of salt over your chips, a bit of MSG now and again probably won't make much difference.
Personally, I have no worries about MSG in food. However, if you want something to worry about, read this:
http://www.healthdangers.com/drugs/MSG/msg-hea lth-effects.htm
(After you've read it, take a look at the health warnings which accompany such mundane products as medicines for cold relief. If you allowed yourself to be scared by the possible side effects of such things, you'd never take an aspirin! In my opinion, and that of the EU food scientists, the risks from MSG are the same or lower than from many other things we happily put into our mouths).
The Co-op has bowed to pressure from the scare-mongers:
http://news.bbc.co.uk/1/hi/health/4670953.stm
Others are unconvinced.