Are there any magnetic particles that are safe to inhale?
$\ce{O_2}$ is paramagnetic.  



source: http://www.chem1.com/acad/webtext/chembond/CB-images/liquidoxygeninmagnet.jpg

The stable Xenon isotope Xe-129 has been used in MRI studies:

Hyperpolarized Xenon MR Imaging of the Brain 


  A radically new magnetic resonance imaging (MRI) technique, using hyperpolarized 3He and 129Xe, is being developed to produce high-contrast images of important body tissues that have resisted conventional MRI techniques. Hyperpolarization of the noble gas nuclei is achieved by spin exchange with rubidium atoms that have been optically pumped into one electronic spin state with the use of circularly polarized light from a high-power diode laser system. Hyperpolarization can increase the detectability of 3He and 129Xe up to a hundred thousand times. This technology is showing dramatic results for diagnostic imaging of the lungs, brain, and other parts of the body. Most notably, we have achieved high-resolution dynamic images of the lungs and airways using 3He, and measured cerebral perfusion in the brain using 129Xe. 


See video of lung being imaged: http://www.spl.harvard.edu/archive/HypX/about.html