Low fat cheese like cottage cheese are the best for you, but they taste like sh*t.
The thing that is unhealthy about cheese is high levels of cholestrol and saturated fat which is in the fat content of the cheese, and every type of cheese has a different fat content.
You probably should read the product information on the pack and go for the cheese you like with the lowest fat content.
Another tip i've heard is that Parmesan cheese is good because it has such strong flavour that you need very little of it, so even though it's a high fat cheese, you use a tenth as much.
Cheese is also a calorie dense food, (the lower the fat the lower the calories as well) - so it's not good if you need to lose weight (but low fat is better than high fat).
The other thing is salt content - some cheese has a lot of salt and that's not good.
Last thing to worry about is that it can cause constipation in some people, but that's only a worry if you are one of those people.