There have been comments of around 12 secs of useful consciousness after an explosive decompression. Ignoring all the other chaos in the cockpit for a moment ( noise, debris, panic, cold etc ) why would pilots lose consciousness so quickly when people can swim underwater for much longer than this.
This is because of various factors.
Essentially, your heart continues to pump blood through the tiny exchange capillaries in the alveoli in your lungs where it comes into close contact with air over a large surface area. Normally there is a higher partial pressure (amount) of oxygen in the air than in your blood and due to diffusion the oxygen moves from high 'concentration' in the air to low 'concentration' in the blood and combines with hemoglobin.
If you change the atmospheric conditions such that there is a lower partial pressure of oxygen outside the body to that in the blood (ie 40000ft) the opposite will happen and the oxygen attached to the haemoglobin will actually dissociate and you will breath it out. Essentially things go down concentration gradients from high to low - diffusion.
Also other pathological changes occur as gases which are dissolved (such as nitrogen) will dissolve and cause nasty problems (due to Henry's law). Not to mention enormous amounts of adrenaline and potential trauma upping your demands for O2.
Its very very different from taking a deep breath and putting your head in the sink whilst your mate times 4 minutes.
See:
When Humans Fly High: What Pilots Should Know About High-Altitude Physiology, Hypoxia, and Rapid Decompression - AVweb Features Article for a decent guide.