(Warning: Long post. I got academically interested in something and did some research.)
After this was mentioned in a class I was taking, I did a little reading on this, out of curiosity. (Ok, I'll be honest... I did web research for most of an afternoon, because I like research) It turns out that what we're describing as Erotic Asphyxiation is only a part of the whole range of activities that fall under that umbrella. Most of them are dangerous, in some way, especially those done alone. I won't go into them all here, as a quick google search will turn up many of them, but what fascinated me is that there is actually a form of erotic asphyxiation that is almost completely safe:
Holding your breath.
Just holding it. Not going underwater while holding it, or having someone "help" by holding your nose and mouth closed, nothing. Just holding your breath until you become lightheaded. Some children hold their breaths as a kind of temper tantrum, until they actually pass out, on a regular basis, and doctors will tell the parents that there's nothing to worry about (just don't give in to the child's demands to stop them, because no one wants a spoiled kid).
To illustrate why this is safe for most people: It's common knowledge that without oxygen, brain cells begin to die. This begins after approximately 4-6 minutes without oxygen. So, to kill brain cells, you'd need to hold your breath for over 4-6 minutes. But most people can't get past 2/2.5 minutes; synchronized swimmers, who train to hold their breath longer, often top out at 4, and some Navy Seals have been trained up to 6. For most people, as long as you're not under water or being prevented from breathing, either the breathing reflex takes over when the CO2 levels in your blood pass a certain threshold, or you start breathing again when you pass out, both of which will happen to the untrained in about 3 minutes.
Holding your breath, on land, without any help, is only dangerous if you have severe, acute heart problems, especially arrhythmia. Those with issues like claustrophobia, as Airen mentioned, may experience responses related to their claustrophobia, but while not fun, it won't cause brain damage. For everyone else, as far as I was able to research, your breathing reflexes WILL take over before you cause any damage. Now, I know this doesn't have the fetish appeal of gags or nooses or strangulation or gas masks, but it is medically considered safe.
(that being said, if your doctor tells you not to hold your breath because of a medical condition you have, follow their instructions. Just because I couldn't find it on PubMed doesn't mean it doesn't exist)
