In today's world, most "Saw Dust" comes from plywood, fiber board, etc. That shit has glue & chemicals in it. Be 100% sure of exactly what the saw dust derives from before considering it's use.
Microorganisms will try to break down and rot the sawdust if it's fresh. This can rob nitrogen from your plants. It's best to allow the sawdust to rot for a year or so before using as a mulch. I'd also stay away from chemicals as South Texas pointed out.
Personally, I think it's more trouble than its worth. I use hydroton as a mulch. It works great and can be reused over and over.