I realized I wrote that poorly. Let me clarify... Your body still needs oxygen, in fact it uses more. But your blood pressure goes up, muscles get more oxygenated blood, really a host of things happen to make your body way more efficient at transporting oxygen to the parts that are going to "protect you". That's why you'll see somebody who is typically a sloth bust into an Olympic run when a gun goes off near him or a loud noise scares him good. All that adrenaline maximized oxygen flow and glucose processing and turned that Twinkie eater into a track star for a few moments.

I'm going to echo what others have said. Fight-or-flight (and to a lesser extent the preparing for the cold example is you tensing your muscles subtly, hunching your shoulders to protect your inner core, etc.)... These are semi-autonomic responses, like breathing or blinking.

When you prepare for something, you start digging into caloric reserves, your adrenaline production kicks in which lessens your need for oxygen, which distorts your breathing pattern. Your brain manifests some thought of what is coming and so these processes begin, albeit to a lesser extent. Your body is on a 'yellow alert', so moving to 'red alert' becomes less jarring than a flood of adrenaline or muscles tensing up all at once.

There's probably a LOT more going on than that. The human physiology is really a miracle, a complex dance of thousands of variables all working together in a divinely inspired choreograph.