h2g2 The Hitchhiker's Guide to the Galaxy: Earth Edition

"so that you don't inhale too much and explode."

Well, you can't actually inhale enough to explode like the previous posting said. But your lungs still can explode. The first thing you are taught when you start SCUBA is whatever you do not to hold your breath. When you go underwater your first instinct is to hold your breath, but if you do there are dire consequences. Pressure builds up in your lungs and causes them to explode. This is always fun to think about when you are 30 ft. below the surface. This is the worst thing that could happen to you, so go dive anyway.
-Jenna

"Pressure builds up in your lungs and causes them to explode"

This is a rather over dramatic explanation.

When you breathe air at depth, the air is at ambient pressure. At a depth of 10 meters the air is at a pressure of 2 atmospheres, at 20 meters, the pressure is 3 atmospheres, and so on. This causes no problems for your lungs at all while at depth. When you ascend to the surface, you must keep breathing in and out. If you hold your breath, the air trapped in your lungs will expand and can cause a lung overexpansion injury, which is serious. Breathing comes naturally to most people, in fact, we do it all the time. So please don't stop while breathing compressed air!