Like Cord says, everything in moderation.
Cheese provides protein and calcium amongst other things. I've been told the crumblier the cheese the less fat content than those which are quite gooey or rubbery like red leicester and gorgonzola. For example, when you grill the cheese when cooking cheese on toast, oil appears on top of cheeses like red leicester. However you'll probably notice that cheeses like cheshire aren't the best for cheese on toast as it doesn't quite melt the same. This could be because of the lower fat content.
Cheese which contain less fat: Feta, mozzarella, cheshire, wensleydale etc.