At the dentist, they are also regulating the amount of N2O that is going in you. When you inhale a balloon full of the stuff, you are getting WAAAAAAAAAAAAAAAAAAAAAY more at one time than you would at a dentist's office. Nitrous oxide is a general anesthetic. That is, it affects your central nervous system and kind of "numbs" it. If you ingest too much, it can cause your heart to stop. That will kill you. With helium, the problem is that the He gas will displace oxygen from your lungs and make it difficult for your cells to respire properly. However, the gas itself is much lighter than air and so what you inhale quickly escapes your lungs. Nitrous oxide is a bit denser than air, I believe, so you have to actually force it out of your lungs or wait for your body to metabolize it. (Helium is actually used in deep sea diving because it does not dissolve in your blood all to readily, so as you come up from the high pressures of the deep sea you don't have to worry about it bubbling out of your blood and causing strokes).
So in reality, N2O isn't really horrible for you. It's just that in the situation that kids and abusers use it, they aren't regulating how much they are inhaling so they tend to use faaaaaaaaaaaaaar too much. I guess you could say the same thing about ethanol as well.