Depleted uranium is still radioactive, but not as radioactive as raw uranium from the ground, or fuel for nuclear reactors or weapons. Uranium enrichment separates the uranium isotope U-235 (more radioactive, lower concentration, stuff that is easily fissile) from U-238 (less radioactive, most of the isolated uranium, can be turned into plutonium but otherwise doesn't go boom).
I'm not sure if forging would be a good idea. Some metals (aluminum, titanium) burn when exposed to oxygen at high temps. That's why you have to MIG or TIG weld these metals - you use an inert gas environment so there's no oxygen around to burn. I think uranium works in similar fashion. This is an asset in anti-tank rounds, where the uranium sabot is self sharpening - as it bores through the armor plate, bits of the metal flake off and ignite. You basically shower the inside of the tank with little flaming chunks of metal. Unfortunately, I don't think this self-sharpening effect works at normal chopping velocities.
Also, I'm not sure if the properties of uranium would be useful for a knife. It is very dense, even moreso than lead. I think (but could be wrong) that uranium is soft, similar to lead. OK, nevermind. Apparently, uranium is significantly harder than steel, similar to tungsten. Presumably if it could be made tough enough, it would hold a decent edge. Given that info, I would think uranium would perform similarly to tungsten. However, much more metallurgical work has been done on steel than either tungsten or uranium, so things like specific alloys and heat treating procedures would have to be developed.
Here's a link where I found the hardness info. It's also a good review of the other issues I discussed, like radioactivity of U235 vs. U238, and incendiary properties:
http://science.howstuffworks.com/bunker-buster.htm