Splenda is a brand name for sucralose, which is an approved food additive in the United States. According to the FDA, it is safe to eat.
The FDA cites 110 studies demonstrating the safety of sucralose, while the National Cancer Institute states that there is no known risk of cancer associated with the sweetener. Because it is stable when heated, sucralose is approved for use in cooking and baking in addition to its use as a general purpose sweetener.
Sucralose is 600 times as sweet as sugar, but contains no calories. Packaged products such as Splenda are not necessarily calorie-free since they contain fillers and other additives.