Nope, it's not breathing anally, it's a micro-particle that puts oxygen into your blood stream.

http://www.techwench.com/scientists-invent-oxygen-particle-that-if-injected-allows-you-to-live-without-breathing/

Quote:

A team of scientists at the Boston Children’s Hospital have invented what is being considered one the greatest medical breakthroughs in recent years. They have designed a microparticle that can be injected into a person’s bloodstream that can quickly oxygenate their blood. This will even work if the ability to breathe has been restricted, or even cut off entirely.

I can't see many downsides to this but I can imagine athletes taking these before games and using it to increase their performance.
As for the upsides, there are way too many to think about