Putting yourself into a chronically hypoxic environment, such as staying at high altitudes for extended periods of time, will cause the kidneys to release erythropoeitin (EPO). This signals the production of additonal red blood cells and subsequently increases the oxygen carrying capacity of the blood. In fact, exercise accomplishes the same thing up to a certain point.
Athletes use this phenomenon when they do something called blood doping. They draw some of their own blood, enough that their kidneys produce EPO and more red blood cells are produced. Come competition time, they inject their blood (I'm pretty sure only the formed elements and not the plasma) back into their bloodstream. Instantly they can carry more oxygen and performance improves.