What are the fumes that form above liquid nitrogen?
The visible fog that forms when liquid nitrogen is poured into an open container is almost entirely water fog: the boiling nitrogen chills the air above it, causing the humidity in the air to condense into fog.

There may be some microdroplets of liquid nitrogen in the fog too, but the air, even after it's been chilled, is still much warmer than the boiling point of nitrogen, so there won't be much.  (You can condense air by running a continuous stream of liquid nitrogen through a heat exchanger and blowing air over it, but mostly you get liquid oxygen when you do that.)

Liquid nitrogen has a relatively small heat of vaporization, as these things go: 199.2 kJ/kg according to Air Liquide.  (Compare 572.2 kJ/kg for dry ice.)  That plus the Leidenfrost effect means it's actually rather difficult to freeze yourself with the stuff. There's a standard demo where you pour liquid nitrogen into an audience member's cupped hands. The Leidenfrost effect prevents it ever coming in contact with their skin, and it only leaves a mild chill behind.  Try this with dry ice and your "volunteer" will need emergency treatment for frostbite.

Gaseous nitrogen is second only to the noble gases in its inertness, and it makes up 78% (by volume) of the air you're breathing as you read this, so obviously the "fumes" aren't harmful in themselves.  However, as was mentioned in an earlier answer (which seems to have been deleted), if you let liquid nitrogen evaporate in an enclosed space, it can "displace" the oxygen that makes up another 21% of the air, at which point anyone in the area may asphyxiate.  The sensation of suffocation is triggered by having too much CO2 in your bloodstream, not by inadequate oxygen supply, so you might not even notice that anything was wrong until you collapsed.  That's the second most dangerous thing about evaporating liquid nitrogen.

The most dangerous thing is, if you let liquid nitrogen evaporate in a sealed container, it's liable to explode on you.