Here's the bad news. According to research published by the National Cancer Institute's formaldehyde cohort, formaldehyde exposure is associated with myeloid leukemia and possible Hodgkin's lymphoma and multiple myeloma. This study was conducted over 15 years with over 25,000 workers and can be considered releiable research in my opinion.
Here's the good news. The risk of dying of these cancers decreased the as the time of exposure increased. Also, this is not linked to occasional exposure, like dissecting the frog in biology class, but in extensive exposure as in manufacturing and embalming.
The National Cancer Institute's research is available here and the New York Times published a much more readable version of the information here.