Oxygen is one-half of the equation in the cellular respiration equation, which provides energy to every cell in your body. When you exercise, you increase the rate at which energy is needed. More and more oxygen has to be supplied to meet the increased energy needs. This is why you breathe harder when you are involved in a vigorous physical activity, such as football, basketball, or soccer. The hemoglobin in the blood is the molecule that is responsible for the transport of oxygen.
At some point, during this vigorous exercise, the demand for oxygen exceeds what the hemoglobin is able to deliver. It is at this point the skeletal muscles switch over to another method of energy production, fermentation, which does not require oxygen. Fermentation builds up lactic acid in the muscles which cause discomfort, a tingling, "burning" sensation. It is at this point you need to take a break, and allow the levels of oxygen to be restored to your system. Your breathing slows, your heart rate returns to normal as your system "catches up" with the demands you have just exerted upon it.