Dust is bad in every way. It clogs up heat sinks (which rely solely on moving air to function, therefore if air doesn't move between the fins, it doesn't cool anything), it clogs up fans which cause them to burn out and become a mini-furnace (probably could cause a fire if it got hot enough), and it also can short stuff out.
So, get rid of dust whenever you can. If you really don't want dust, put in some fan filters and seal up every other hole in your case.
I usually de-dust my rig about every 1.5 - 3 months (depending how bad it gets).