Stainless steel gives off hexavalent chromium, nickel, and manganese gases. Highly toxic. Welding galvanized steel gives off zinc fumes. Drinking milk DOES NOT prevent getting sick after welding these metals. Welding aluminum can release oxides. One of the things you're supposed to do before welding aluminum, is to take a clean stainless steel brush, and clean off any oxide on the material.
Fume extraction should be definitely looked into for us even hobbyist welders/fabricators. That or wear fresh air masks or filtered masks under our welding hoods and grinding shields. The biggest thing, besides removing the fumes, is also preventing the shielding gas from being blown away while welding, as that will lead to poor welds and a lot of porosity.
Back in college when I was getting my diploma for welding, each of our welding booths were tied into a centralized fume extraction system. Was just enough to pull some of the fumes out, without disturbing the shielding gases.