I won't comment on cholesterol and eggs in specific, but generally your cholesterol levels will correlate more highly with your genetic heritage and overall fitness level. A lot of the cholesterol you eat gets broken down for energy or is used by your body to create steroid hormones (yes, including test, as well as its precursors and cousins). Eggs may be better or worse for your cholesterol than eating other foods. For a long time, scientific opinions on this have varied depending on who pays for the study. If it's a concern, my advice would be to keep an eye on it and - as body2see did - follow your doctor's advice.
Yes, you can also get food poisoning from eating raw eggs. You can usually eat a lot of raw stuff of all kinds and not get sick as long as it's fresh. People are usually fine after eating sushi, raw eggs, or rare meat. I know people who've done it for years and have been fine. However, it only takes one serving of something that's been sitting around a little too long for you to get extremely sick.
I personally use Eggbeaters (or more frequently, whatever the store brand is). If you want to chug it raw - as I've done many times - it's pasteurized and should be fine. It's also easier because you don't have to blend it. My only complaint is that it sticks to a pan like hell, but that won't matter if you're not cooking it. The protein is a little less per serving, but there is no fat and no cholesterol. The lack of fat makes Eggbeaters great for cutting calories. You can make up for the slightly lower protein by drinking a little bit more of it. You can also probably get almost the same nutrition as in whole eggs if you make up the calorie difference between eggs and Eggbeaters with some mixed nuts, beans, flax seeds, etc. All of those have healthier sources of fat than eggs and additional protein.
You will not destroy protein in foods by cooking unless you burn the food. That can cause the proteins to curl into prions or break down, but usually burnt foods tastes like crap, so it's generally not a concern. Basically, cooking food won't affect proteins; burning it will. Only proteins in the burnt part will be affected, so even if you like your burgers well done, only the proteins on the outermost part are damaged.
Since I've already been pimping Eggbeaters, I'll also recommend TheDailyPlate.com. I thought I knew a lot about what I ate until I started tracking the nutrition for everything I eat using that site. Don't follow their guidelines for eating - they'd have you eating something like 20% protein, 30% fat, and 50% carbs for your calorie breakdown - but it's awesome for tracking what you eat. Most every single ingredient you can think of or buy in a grocery store or meals from national food chains are in their nutrition database already. If you're really serious about keeping track of what you eat, which is essential if you want to hit your goals, I highly recommend it. Alright, I'm done hustling shit now, and no I'm not getting paid or affiliated with either brand I mentioned
