It is not always the case that you cant bring it on. I am an oops agent at MAN and one of our customer airlines will allow you to bring your own oxygen onboard provided certain criteria are met...
* Not continuous Oxygen.
* No more that 2 litres per hour
* Containers are less than 5 kilos each
and
* no more than 2 containers to be brought in the cabin
Barring any of the above however and they will supply Oxygen for you!