Helium is inert and non-flammable. The hazards are physical, and they are about the cylinder rather than the gas.
The cylinder is the risk
A full 200 cubic foot cylinder is heavy and under high pressure. One that falls and snaps its valve becomes dangerous very quickly.
Keep it upright. Keep it secured with a chain or strap, not propped in a corner. Keep the cap on when it is not in use. Move it with a trolley rather than walking it across a yard.
Ventilation
Helium is not toxic, but it displaces air. Fill outdoors or in a well-ventilated space, never in a small closed room.
This is the one point people wave away because helium feels harmless. It is harmless to breathe past; it is not harmless to fill a small room with.
Never inhale it
Obvious, and it still needs saying because a helium cylinder on a forecourt attracts exactly that joke.
From a pressurised cylinder it is genuinely dangerous, not merely silly. Make that clear to whoever is doing the filling, particularly at a public event.
Cylinder rental
Most suppliers charge separately for the gas and for renting the cylinder, monthly or annually. Ask on your first call.
Some waive it for regular accounts and some will sell you a cylinder outright, which pays back for long-term users. It is a small sum; it is just an unwelcome surprise on a second invoice.
Your supplier will brief you
When you open the account they will run through handling. Let them do it even if it feels obvious, and pass it on to whoever will actually be filling the balloon.
In practice the person who fills it is rarely the person who bought it.
More at arizonaballoon.com.