In the US at least, if you buy a bottle of mustard oil, it'll say "for external use only". Now as much as I like to make fun of people who need warnings like that, why would I want to cook with it? Am I stupid or what? Leaving the larger question of my intelligence for others to answer, let's see what the problem with mustard oil might be and whether we really need to be concerned.
The main concern about the oil is that it contains erucic acid which used to be thought highly toxic to humans. That was based on studies in rats, who are not as able to digest the oil as humans. So keeping your rats away from the mustard oil stash would be a good idea.
Now, having said that mustard oil is safe, I must admit to handling it a bit differently than other oils I use for cooking. First off, I never use it by itself. I normally dilute it 50:50 with whatever other oil I'm using. And I always heat it to the smoke point before adding the remaining oil. That's to reduce the strong odor and taste associated with the oil.
Mustard oil is an important part of cuisine in some areas of India and we can enjoy the flavor it brings to food in our cooking as well. Just be aware of the issues with it and use it properly. And if you'd like some more scientific information about mustard oil and erucic acid, you can download an article here.