Chronic exposure to arsenic can cause cancer or other health problems. You can pick up minute levels of arsenic from touching treated wood or from touching soil that is contaminated with arsenic. It can also be absorbed through the skin.
People also can inhale arsenic sawdust when working with the wood.
Smoke from treated-wood fires is toxic, and the ash is hazardous. That's a tricky question, as any homeowner will soon find out if they call around for an answer. Private and government studies offer varied conclusions. Look in the Yellow Pages under laboratories. One alternative is ACQ, which is pressure-treated, has a long outdoor life and doesn't contain arsenic.