i have read that heat will dry out your hair and make it frizz more often but with the cold setting, it just takes way to long to dry. i use a leave-in conditioner after i get out of the shower and it really helps.
My hair is very curly, therefore very dry. The high setting makes it frizz out like crazy, but also makes it easily break off. I use the low setting on warm. I can't use cool because it takes an hour to dry it that way!
I have fine, straight hair. I blow on hot until it is almost dry and then finish on cool. I don't blowdry my hair often, though, so I doubt any damage caused by the heat could really build up on itself.
I blow dry on hot, every single day. I also use a metal-barrelled brush so that it heats up and acts as a type of curling iron. I find it gives me the most volume. To be honest, my hair is still healthy although I do this daily.