It’s a matter of risk assessment. If you want to be super safe, just use Proofgrade. Next level is materials from a reputable source who are willing to claim they are laser safe.
More risk than that and you’re taking on some of the material understanding and how it behaves in a laser yourself. One way to go about that is to look at the MSDS (Material Safety Data Sheet). Unfortunately, the SDS’s are made for intended handling and may or may not give composition information. They will often give warnings for firefighters and there you might be able to tell what the hazardous combustion by-products are. One thing to note here is that cutting something with a laser can produce by-products in different amounts than combustion because of the way the we attempt to focus the heat in a tight a spot as possible and then cool it immediately. Some volatile combustion by-products that would not live long in a fire can survive the laser process and end up in the exhaust. As far as I can tell, this isn’t well studied actually.
Typical combustion by-products of carbon based materials (wood, plastics, leather) include some really nasty stuff to breath so you need to make sure you’re venting properly in any case.
And then there are the things that are bad for your laser (and can also be bad for you to breathe). So far, it appears that Chlorine is the easiest mistake to make since PVC is such a widely used material (often called vinyl). All of the other halogens (flourine, bromine, iodine, astatine called flouride, bromide, iodide, astatide in halide anion form) are also likely bad for your laser, used in materials much less commonly, but if you see them in the MSDS, definitely avoid.
And then there is stuff that just doesn’t laser well. They make a melty mess or aren’t really etchable or cuttable.
And then you’ve got reflectivity to IR light to worry about because you don’t want a specular reflection of the beam burning or etching something inside your Glowforge.
One resource that gets kicked around a fair amount here is the ATX Hackerspace list since it appears to have a pretty good list of stuff. I wouldn’t take it as definitive though since they aren’t particularly specific about which materials they tried or the source of the info, but it might be a good starting point: http://atxhackerspace.org/wiki/Laser_Cutter_Materials
Edit: some typos