At high altitude, the air density is lower than at sea level.
This causes two basic problems:
First at higher elevations, water boils at a lower temperature, thus requiring you to cook longer once you hit boiling (and the time it takes you to prepare your recipe). For example, the water's not as hot in Denver as it is in Boston, even boiling. This is the reason, when cooking in the mountains, your coffee and hot chocolate can be merely tepid, even though the water was boiling.
Second baked goods tend to rise faster, requiring a change in the proportion of ingredients used in leavened foods (such as breads and cakes). Sometimes, you may need to adjust the baking temperature in your oven as well!