Used as a therapeutic gas in diving to treat bends from a chamber depth of 18m or 60ft, or to assist in normal chamber decompression. You breath in pure oxygen which transfers to your bloodstream via the lungs. Transported round the body there is a gas exchange between the gas mixture that you have been breathing (Oxygen/Nitrogen or Oxygen/Helium), O2 goes in Air or Oxy-Helium comes out.

Used as a breathing medium in closed circuit diving sets, not recommended below an in water depth of 33 ft or 10m as O2 is considered "toxic" below that depth in water (in actual fact this effect is something that is down to individual person's tolerance which can change day to day - there were reported instances of Italian "Charioteers" during attacks in WWII breathing pure O2 at some horrendous depths and still surviving)

When breathing pure O2 you should not breath it continously for more than 20 minutes at a time, so O2 decompression stops are broken by 5 minute air breaks, it reduces the dryness that MeganL mentioned and reduces a thing called accumulated Units of Pulminary Toxicity Dosage (UPTD), although this comes more into play while breathing mixtures with higher O2 partial pressures. Too high a UPTD count and you reduce your lung capacity - you burn your lungs out from the inside.

Breathed on the surface it is also great as a hang-over cure.