In my attempts to formulate a response to this post, I find myself obtrusively distracted by paying attention to my own breathing. I am tempted to upvote simply for the use of the word "wackaloonery."
I think Subsumed has the right idea; the potential gains have to be weighed, not just against the effort of conducting the training, but the fact that it might have a negative effect.
To throw some anecdotes at the issue, I have known a number of people with exceptional breath-holding skills, all of whom are notably stupid. There may be some causation running in the other direction, since if they were smarter, they probably would not have bothered practicing so much to hold their breath.
On January 4, PJ Eby sent around an email linking an... interesting... website. The claim on the particular webpage he linked was as follows:
This site is part of a sales pitch, so many of the claims are stated in hyperbolic language. I've already noted one factual error: the webpage claims that being underwater triggers the diving reflex, while in fact (or at least, according to Wikipedia) the diving reflex is triggered when one's face is immersed in water colder that 21 °C.
But there is a testable claim here: learn to hold your breath for longer periods of time -- particularly in conditions that elicit the diving reflex -- and you will see increased intelligence. I know that some readers of LW regularly train and test their intelligence, so I offer this as an easily implemented potential method. The possible gains seem to me to outweigh the costs of the training and the low prior probability of the claim.