The Hodge star definitely does _not_ map (for example) closed forms to closed forms. Here is a simple example to show this: on a Riemannian $n$-manifold, consider the $n$-form $\omega = f \, \text{vol}$, where $f$ is a smooth function and $\text{vol}$ is the Riemannian volume form. Note that since $\omega$ is an $n$-form, it is always closed. But $\star \omega = f$, which is closed if and only if $f$ is (locally) constant.
I don't see a good reason to expect $\star$ to give an isomorphism on cohomology, other than the appeal to the Hodge Theorem in Ted's answer. (Of course, that crucially relies on the orientability and compactness of $M$.)
Edit: It occurs to me that the point is that $\star$ interchanges $d$-closed and $d^\ast$-closed forms, i.e., $d \omega = 0$ iff $\star d \star \star \omega = \pm d^\ast (\star \omega) = 0$. Harmonic forms are precisely the forms that are both $d$-closed and $d^\ast$-closed; thus $\star$ is an automorphism of the space of harmonic forms.