Contact can severely irritate and burn the eyes and skin.
Breathing Calcium Oxide can irritate the lungs causing coughing and/or shortness of breath.
I'm not very knowledgeable in chemistry, but doing a bit of research and based on the information I found, it seems that calcium oxide is hazardous, but not necessarily toxic.
Calcium oxide | CaO | CID 14778 - structure, chemical names, physical and chemical properties, classification, patents, literature, biological activities, safety/hazards/toxicity information, supplier lists, and more.