The primary issue with liquid nitrogen is that if you were to use it in an enclosed area or a small area. It can quickly vaporize and drop the Oxygen levels into the dangerous regions very quickly (below 18% IIRC). Our air is 78% Nitrogen, 21% Oxygen, and 1% other for reference.
@Joe C
I believe that he should have some safety equipment as well. However, he is only endangering himself, not others. He is showing overclocking, not teaching a class on safety precautions regarding liquid Nitrogen.
@PPM (off topic)
That fourth picture is one of my favorite energy drinks atm. The energy is amazing, but I have never had such a harsh crash as from that drink. I also love the taste too. A bit ironic that you put a Nitrogen injected (dissolved really) energy drink into liquid Nitrogen.