Cheese can be high in cholesterol, sodium and saturated fat, but eaten in moderation cheese can be a healthy part of your diet because it provides calcium.
If you need to watch your sodium or cholesterol intake than when you select your cheese and are looking at hard cheeses than check the label for "fat free", "low fat" and purchase those. If you are looking at soft cheese than chose those that are labeled as low fat (1%), part-skim or light products. Some grocery stores even carry low fat, low cholesterol cheese products for you to select from.
Cooking with Cheese
If you are cooking, do not use fat-free cheeses because they will not melt. Use a low-fat brand or reduce the amount you add to the recipe of a regular cheese by half.
Cheese does tend to have high sodium content so read labels of cheese packages to determine how much sodium is listed.