The first thing that happens is your respiratory rate and heart rates speed up. This occurs both at rest and during sub-max. exercise. This helps offset the lower partial pressure of oxygen. You will not be able to reach your max VO2 so don't get frustrated. The faster breathing rate changes your acid-base balance and this takes a little longer to correct.
The longer term changes are
PRACTICAL IMPLICATIONS FOR ATHLETES
WORKOUT INTENSITY - This will necessarily be lower until adaptation can occur. Pushing your workouts too hard may increase your risk of overtraining or injury. Additionally some people just do not adapt as well as others. There is not one workout program that is appropriate for everyone -- just like at sea level. It is best to keep a log in which you rate fatigue during workout and at rest, morning resting heart rate, weight, and mood. Correlate this with the intensity of your workouts and this will help mold a flexible routine that is right for you.
Furthermore, while adaptation to high altitude makes you better at high altitude it hasn't proved useful for making you faster at sea level. There is a lot of mysticism that surrounds the belief of enhanced sea-level performance after altitude training, but the current scientific evidence is lacking. The reason is that some of the adaptive responses at high altitude are actually a hindrance at lower altitude. As more research is done then perhaps a training regimen that shows definitive improvement will emerge. The best advice as of 1994 is that high-altitude training is like "magic shoes" -- If it works for you then wear them.
There is some more recent evidence to suggest that a "train-low, sleep high" approach may confer some advantages. In this scenario, training is carried out at low altitude -- to push anaerobic threshold, and VO2 max --but sleeping is done at high altitude so that the hypoxic stress increases red cell mass. Certainly a creative approach and one which might yield excellent results, because it may give the athlete the "best of both worlds". In a practical sense it may be difficult to construct, but if you are lucky enough to live in a situation that allows this type of training, it is worthy of consideration.
WHAT IS MOUNTAIN SICKNESS ?
Symptoms of headache, malaise, and decreased appetite are fairly common amongst individuals traveling to altitudes greater than 8,000 ft -- although this can occur at lower altitudes. The mild forms of mountain sickness can usually be treated with rest, hydration, analgesics (eg. ibuprofen), and alcohol avoidance. If you are already experiencing these symptoms do not go to higher altitudes. There is a medication that can help prevent this illness. Individuals who have already experienced an episode of mountain sickness are at risk for future trips and should seek medical advice.
Severe forms are characterized by severe shortness of breath, cough, severe headache, confusion, or hallucinations. This may progress to coma and death. This is a medical emergency. Immediate descent to lower altitude, administration of oxygen, and medical attention are required.