Basically, the intended effect is to increase the number of red blood cells in your system, which in turn gives you increased oxygen carrying capacity to the working muscles.
This extra oxygen allows your muscles to work longer and harder.
In the early days of "blood packing", circa the 70's and 80's, it was basically taking a couple of pints of blood out of the body, storing it and letting the body naturally replace it, then transfusing it back into the athlete before their events.
Erythropoietin has actually been around since the early 1900's, and in the 60's, they found that it stimulated blood marrow to produce extra red blood cells.
In the late 80's, a synthetic EPO agent was created, and this is what led to the EPO use as an athletic enhancing agent, other than its legitimate medical uses (Anemia, and other diseases).
The biggest effect from extra blood cells (Other than the risk factors of homologous blood {Blood from an outside donor}) is that the blood becomes thicker and more viscous.
This can lead to blood clots, strokes, heart attacks and pulmonary embolism.
This becomes more likely at rest/sleep, as the heart rate slows quite a bit.
bicycles.stackexchange.com/users/4481/JohnP
Here is an excellent article from Outside Magazine written by a journalist who rode brevets and decided to explore performance enhancing drugs (EPO & HGH) and write about it.
The really sad thing about these drugs is that they appeal to really talented and dedicated athletes who've reached the pinnacle of their abilities and who have only a very limited amount of time before age or injury degrades their physical performance.
I am sure that you'll be able to find plenty of references on the physical side effects of these substances (yes, they're dangerous and potentially fatal).
But the psychological "side-effect" is significant as well.
People who take these drugs become acutely aware that they are not themselves and that their performance is not entirely their own.
That, by itself, let-alone health consequences is a huge burden that must be carried in secret by athletes who've spend a decade or more developing their abilities using only their own talent and hard-work.
bicycles.stackexchange.com/users/1998/Angelo
Blood doping isn't only pumping more blood into your body.
Your body increases hemoglobin (red blood cells) when you are in great altitude.
This is caused by lower air presure which doesn't allow the lungs to transport enough oxygen into the bloodstream.
Therefore the body can increase the ratio of red blood cells in your blood to compensate for the lower oxygen intake.
If you train hard in big height this compensation mechanism really kicks in, raising your hemoglobin level.
After doing the traing the high hemoglobin rate only lasts a few days(?)/weeks, therefore you can remove this blood from your body and freeze it for competition.
Before the competition starts you reinject the froozen blood (maybe remove some current blood?).
This gives you an higher oxygen binding rate and gives you more power on the bike.
You don't need EPO or anything.
EPO also increases hemoglobin but without the need of high altitude.
I wouldn't really concider that blood doping, but the link from the previous answer differs.
I think your question referens to "doping with your own blood" (not a native speaker, don't know the technical term) If it harms you?
People in high altitude maybe live shorter, but that might be caused by missing health care system, poverty and missing education in countries with high mountains.
I think other factors such as increased radiation in heights might account for more deaths than some cardio-vascular stuff.
Therefore saying more hemogobin equals higher mortality might be a long shot and empirically wrong.
Are there any studies?
(not that I know of, but might be worth a search).
Injecting large amounts of blood may well be a hazzard if the blood starts to clot, or was contaminated during storage, but I guess that's a small risk.
Taking other peoples blood may well mess you up, if some unexspected immune reaction kicks in.
I don't think enough cyclists died from injecting their own blood to make some profound statement.
bicycles.stackexchange.com/users/4680/Franz Kafka
From the World Anti-Doping Agency: http://www.wada-ama.org/en/Resources/Q-and-A/Blood-Doping/
While proper use of EPO has an enormous therapeutic benefit in the treatment of anaemia related to kidney disease, its misuse can lead to serious health risks for athletes who use this substance simply to gain a competitive edge.
It is well known that EPO, by thickening the blood, leads to an increased risk of several deadly diseases, such as heart disease, stroke, and cerebral or pulmonary embolism.
The misuse of recombinant human EPO may also lead to autoimmune diseases with serious health consequences.
bicycles.stackexchange.com/users/3858/CurtisEdwardFranklin
If the blood is from other individuals then there are a number of hazards, from AIDS and hepatitis to malaria and Lyme disease.
Plus there's always a chance of a sort of allergic reaction to the blood due to mismatched antigens.
If the blood is "autologous" -- from your own body -- then the above risks are avoided (so long as someone doesn't mix up the blood).
But there are non-trivial risks of infection, blood clots, and iron overload.
On the "donating" side, since you're probably stressing your body in several ways, there are additional risks.
bicycles.stackexchange.com/users/1584/Daniel R Hicks
It has been in the news that endurance athletes such as cyclists sometimes increase their red blood cell count by blood doping. I don't understand how you can just pump more blood into yourself, there must be some bad side effects to doing this, right?
What are the side effects of blood doping?
bicycles.stackexchange.com
<health><racing><doping>
bicycles.stackexchange.com/questions/10967
bicycles.stackexchange.com/users/4723/danny
Blooding doping has been around for quite a long time. It is basically intended to force the bosy to create new red blood cells and thus increase oxygen transport to the muscles. Mainly athletes remove and inject their own blood, in which case the health risks seems relatively small. However, gretaer health risks exist where blood of other donors is used, i.e. risk of infection, reaction, etc.  The aim is to increase the red blood cell count, boosting your oxygen carrying capacity to working muscles. Early methods took blood and stored it for later use, but later EPO was used after it was found to stimulate production of red blood cells. Taking other people's blood carries the risk of disease, but the risks of a higher red blood cell count are not fully clear. The blood becomes thicker, but not enough cyclists have died from this to make conclusive statements. People living at higher altitudes often have a lower life expectancy, but this could be due more to social factors. Athletes may feel pressure to use blood doping due to the heavy competition and their limited time at the peak of their sport, but they are always aware that this is not purely their own achievement.
The aim is to increase the red blood cell count, boosting your oxygen carrying capacity to working muscles. Early methods took blood and stored it for later use, but later EPO was used after it was found to stimulate production of red blood cells. Taking other people's blood carries the risk of disease, but it is not clear how dangerous a higher red blood cell count could be. The blood becomes thicker, but not enough cyclists have died from this to make conclusive statements. People living at higher altitudes often have a lower life expectancy, but this could be due more to social factors. Athletes may feel pressure to use blood doping due to the heavy competition and their limited time at the peak of their sport, but they are always aware that this is not purely their own achievement.