Well, when compared to cigarettes, we know for certain it's safer. That doesn't necessarily mean that habitual use won't have any effects. We also know it doesn't cause lung damage. I myself have experienced some coughing occasionally from it, but it's nowhere near cigarette levels. And sometimes I get a dry buildup in the mornings that I have to sort of clear. I think it's probably the VG that gives me the phlem. Might all be caused by the artificial flavors though. PG makes my throat all scratchy, so I go with max VG.
With THC, they use PEG 400 in addition to extract it. They use a combination of polyethylene glycol 400 and propylene glycol for the extraction, then probably mix it with VG to dilute it a bit. I've heard that the PEG smells like burnt plastic alone. It's supposedly safe though. The reason they have to use PEG 400 is because the THC is an oil. I'm not sure if vaping it might have a different effect. When you burn it, the oil is combusted. It might be putting more solid oil in your lungs, which is harder for your body to break down. I don't know if they're ever going to study the effects of vaping THC oils though.