If it is well done, it maintains you awake.
It gives you energy (at least oxygen for the brain cellls).
Pranayama (yoga breathing exercises) gives you calm and balance.
If you try pranayama, even once in your lifetime you will get a glimpse of what I have said. Asanas (postures) and meditation (concentration), although not less important, take longer to give you noticeable results.
The relax pose may be an exception to this general rule, offering also very inmediate results.
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Doing breathing exercises can do nothing but benifit you when your working out (in through nose, out from mouth, and playing instruments that requier wind to make noise, even in high stress situations where you need to relax.
Because otherwise you turn blue and faint from lack of oxygen. This can result in brain damage, so it's probably not a danger in your case.
To keep the oxygen flowing through the blood stream to help your excersise be more affective.