When you smoke a cigarette, the smoke travels down the trachea, through the bronchi and into the alveoli. Alveoli are tiny air sacs through which oxygen is transferred into the body. There are over 7,000 chemicals and compounds in cigarettes; around 70 of them cause lung cancer and many others are toxic to the lungs and cause inflammation of the bronchi and the alveoli. When the bronchi become inflamed, they produce excessive amounts of mucous, causing breathlessness and often leading to infection of the bronchi, known as chronic bronchitis. You will probably experience a chronic cough, as this is your body's way of trying to clear your airways of the mucous blocking them. Cigarette smoke can also make your bronchi become narrow and floppy, which can make it difficult to breathe out.
In addition, the chemicals in cigarette smoke destroy your alveoli, causing a disease known as emphysema. When the alveoli break down, they form pockets of lung tissue called "blebs." Blebs are unable to transfer oxygen into your body, since the walls through which oxygen transfer usually take place are scarred and thick with mucous. Instead, blebs trap air in your lungs and reduce your lung volume. This means that when you breathe in, a portion of the air is going into useless alveoli, so less oxygen will be transferred to your body. At first, you might simply feel breathless when exercising. But as the condition worsens, you will feel more and more breathless until your alveoli cannot supply enough oxygen for you to survive. In addition, smoking weakens your immune system. This means that if you do develop a pulmonary disease, it will be harder for your body to fight it.