The key as others have said is that usefull time conscious is of the order of ten seconds. Not much in the confusion of a rapid depressurisation, noise, mist, what the **** etc. So in my view the advice to select your regulator to the emergency position is good advice.
Its all to do with partial pressure of O2 in the lungs which drops the higher we go. As far as I can recall from my av med you can survive on normal air pretty unaffected upto around 8000 for prolonged periods. Above this you need an ever increasing percentage of O2 fed to you until at around 33000 you need pure O2. Around about 40000 you will then need this fed under pressure in order to keep the O2 levels up. If its not fed under pressure, depending on altitude, you will not immediately drop but will become hypoxic.
Hope that helps a bit
Cheers