It passes thru the regulator where the surrounding pressure of the water regulates the pressure of the air in the line so that it is equal. This prevents any pressure differential that would make it hard to breathe.
As for the air in the Scuba cylinder, nothing happens to it as you go down. The pressure stays the same, etc. As to how breathing from a SCUBA cylinder works, there is an excellent answer under the question "How do you breathe underwater when you go scuba diving?"
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The deeper the diver goes, the greater the pressure exerted on the diver's body. This results in a number of things:
Each 10 meters deep the air volume in the tank compressed to the half
0m = 100%
10m= 50%
20m= 33%
30m= 25%
Addition
Actually nothing happens to the gas inside a scuba cylinder during a descent (or an ascent). The cylinder is not a flexible container so the pressure, volume, etc. remains constant. However, once the gas is released from the cylinder (i.e. when a diver breathes from from the cylinder, then the gas would be compressed as compared to the surface. The description above shows the amount of compression that would occur in that instance.
Not really. However, over time, if the air remains unchanged it has a "taste" that is not pleasurable, and potentially could include something harmful. In addition, SCUBA tanks should get a visual inspection once a year and be tested every five years.
A cardinal rule for scuba diving tanks is to never completely empty your scuba diving tank. When planning your scuba dives, it is important that you consider to complete your dive with enough air left within your scuba diving tank.
Due to the mass of the water above you, as you descend in to the water, the pressure increases at about 1 bar for every 10m. This is why if you have been in a deep swimming pool you can sometimes feel pressure on your ears if you swim to the bottom of the pool. The same is true in SCUBA diving but the pressure involved can get much larger. Of course there are ways in which the SCUBA diving kit and the diver themselves can deal with the pressure (such as ear-clearing to prevent barotrauma)