Ahem....
There are a few circumstances where supplemental O2 *can* hurt. And that is why for the most part, they require you to be at least an EMT cert to administer O2, and why it's Rx only. Yes, the DAN O2 stuff is spot on. It works because most of the circumstances where extra O2 is a problem is with elderly chronic smokers... Things like emphysema and COPD patients, in other words, NOT recreational or commercial divers...
Lemme tell you what the O2 bad scenario is: You have two main chemoreceptors in your body that control the respiratory drive. The primary is a CO2 drive... When your blood CO2 level gets too high, it causes your respiratory rate to increase. This drive actually controls all sorts of things, even down to the acid/base balance of your blood (dissolved CO2 forms carbonic acid, which decreases blood pH. Increasing the respiratory rate blows off said CO2, returning blood pH to normal). Chronic smokers in particular have managed to knock out that drive.... So the backup respiratory drive kicks in. The hypoxic drive. This one is not as finely tuned as the CO2 drive, and allows for wider swings in blood pH... Because it doesn't measure blood CO2... So when your oxygen level gets too low (you become hypoxic), your respiratory rate increases. The problem becomes when you start administering high levels of O2 to these patients. Their gas exchange becomes more efficient in only one direction - O2. They don't blow off CO2 any better. So with the increasing oxygen saturation of the blood, their respiratory rate decreases. This increases CO2 concentration in the blood - primarily dissolved in plasma. They also don't breathe as deeply, causing certain sections of their lungs to become stagnant with CO2 laden air. Their blood becomes increasingly acidotic, to the point that they begin having other problems. Up to and including cardiac arrest, because the decreased blood pH causes muscles to just not function as well, if at all. The other danger comes from removing them from the O2 supply too quickly, they simply can't adjust to the change in O2 concentration and may drop into respiratory arrest due to the suddenly dangerously low O2 saturation of their blood.