When a volcanic eruption is imminent, the volcano will often eject tonnes of volcanic ash into the atmosphere. This material is produced by the explosive conditions in the volcano and is not a product of combustion, so the term ash is not accurate. Instead the material is hard and made up of small rock particles. These particles are not only hard but abrasive, and they will not dissolve in water. Some are tiny particles of glass, fused under the extreme heat and pressure of the volcano and then blasted into the atmosphere by the expanding gases. Other particles are rock fragments such as pumice, mica, feldspars and quartz. While these are not poisonous, they are abrasive and somewhat corrosive as well.
Not all volcanoes produce large amounts of ash. Volcanoes like Kilauea in Hawaii produce slow moving lava which is not explosive and does not result in ash clouds. It is the extemely explosive eruptions such as Mount Pinatubo in the Phillipines and Mount Saint Helens in Washington State that produce large ash clouds when the gases explode upwards.
Ash clouds are different from pyroclastic flows. Ash clouds are relatively cool whereas pyroclastic flows are extremely hot. The danger from pyroclastic flows therefore is that lungs and bodies will be incinerated by the heat. The dangers of pyroclastic flows are immediate and lethal. Breathing volcanic ash on the other hand, may have no immediate effects. However, in the long term there may be health risks from breathing this material. At this point, there are no known significant health threats from short term exposure to volcanic dust except sore eyes, sneezing and other respiratory symptoms. For healthy people this is not a problem, but for people who already suffer from bronchitis, emphysema or asthma, this could be a problem. Skin irritations have also been reported after exposure to ash but these do not last after the ash is gone.
Interestingly enough, there is no evidence that indicates a problem with long term exposure to volcanic ash. Given that people who are exposed for long periods to this material are breathing in shards of glass and bits of rock, this is surprising. It indicates that the human body is adaptable and able to cope with these materials. One potentially dangerous condition, given the high concentrations of silica in ash, is silicosis, a disease of the lungs suffered by miners. It hasn't been recorded in people exposed to volcanic ash, but the concentrations of silica in ash are high enough for this to be a potential problem.
Obviously this is a case of being safe rather than sorry. If you are exposed to ash in the atmosphere, wear a mask or stay indoors as much as possible. The known dangers are at this point rather small, but the long term effects are still unknown.