Oxygen oxidizes things [combines with them] - when this happens rapidly they call it FIRE. On a more tecnical note it is what they call an exothermic reaction. That means one that gives off heat. You have a petrolium product that is flamable on it's own, oxygen that makes things burn faster than they would in air, and a reaction that gets You to ignition temperature, which due to the oxygen is pretty low. This is My understanding, anyhow.

For combustion to occur; three factors must be present, fuel (any thing that can burn), oxygen and a kindling point (kp). Don't try it; but oxygen could be poured over a pile of grease and nothing would happen until a kindling point is introduced. That kp could be static electricity, a spark, a flame etc. The flame would burn very rapidly and if compressed an explosion could occur. Because as fire burns, gas is produced and as the gas gets hotter it expands. Check out the principle of Spontaneous Combustion and Boyles & Charles Law of gases in a high school physics book for further explanation.

Most hydrocarbons react with pure oxygen in its gaseous state at room temperature and atmospheric pressure equal to or greater than that at sea level.  The atomic structure of the hydrocarbon immediately begins to oxidize (burn) at an accelerated rate.  Everything exposed to oxygen is in the process of oxidation; some compounds combine with the gas more effectively.  I have seen small explosions occure in the shop.  Once when I was getting ready to braze some piping, I opened the O2 valve on my torch by accident.  I was in the bilge of a ship at the time, and right next to the torch was a zirc fitting on a valve bonnet...it blew and scared the crud out of me.  I didn't really believe it before then, that such a reaction was possible without an external ignition source.  So on your pressure regulators, heed the NO OIL warnings.