 The purpose of this study is to determine the effect that oxygen has when administered to patients complaining of shortness of breath, where the underlying cause of this symptom is advanced cancer. The study tests the hypothesis that oxygen improves shortness of breath more than air in this population. Both oxygen and air will be administered to patients in random order and in a blinded fashion, with patients asked to rate their shortness of breath before and after each gas. Finally patients will be asked which gas they prefer. 