Why is helium used in diving apparatus?
As TAR86 said pure oxygen is problematic.    

A little something from the Wikipedia page on oxygen toxicity   


  Severe cases can result in cell damage and death, with effects most often seen in the central nervous system, lungs and eyes. Oxygen toxicity is a concern for underwater divers, those on high concentrations of supplemental oxygen (particularly premature babies), and those undergoing hyperbaric oxygen therapy.


Turns out nitrogen is also toxic at high pressure see nitrogen narcosis. 

Helium is used primarily because it's cheaper as compared to other alternatives and is not narcotic.       

Other gases are too heavy and they diffuse into the bloodstream.

For more information see this PDF on exotic diving gases.



Fun Fact
Argon is used but can you guess why?    


   Used to inflate scuba suits, helps in insulating them.