So you want to get high. Join the club. If you're one of those who thinks life only really starts to get interesting above 12,000 feet, you've probably read up on acclimatization strategies to prevent and treat AMS, HAPE and HACE.
A pulse oximeter is a handy companion to measure oxygen saturation as an indicator of acclimatization. In Altitude Illness: Prevention and Treatment from Mountaineers Books, author Dr. Stephen Bezruchka states (p. 130): "At sea level the normal reading is 96 percent or above, while at 15,000 feet (4570 meters) it is around 86 percent, dropping to about 76 percent around 20,000 feet (6100 meters). At the summit of Everest 29,029 feet (8850 meters) it drops to approximately 58 percent."
The good doctor points out that you don't want to rely solely on a pulse oximeter for prevention, because you should be following a predetermined strategy (e.g. scheduled climb high/sleep low plan) and some things, like cold fingers or high levels of exercise, can prompt inaccurate readings. He does admit the device is useful for monitoring recovery after the onset of altitude illness, for example while descending, after administering oxygen or drugs such as nifedipine, or while in a hyperbaric (a.k.a. Gamov) bag. Likewise it's useful if you've got a pre-existing lung condition such as emphysema or chronic bronchitis.
The Brooks-Range Finger Pulse Oximeter is a nifty little one ounce design that operates on two AAA batteries. It displays SpO2, and also heart rate both numerically and with a little real-time meter, and readings compared to other methods seemed quite accurate. There is a low battery indicator, and the unit shuts off automatically after 8 seconds of non-use. The unit also has a secondary display mode that kicks in if you press the power button after you're already using it. Unfortunately the documentation doesn't explain what the display actually shows. The stats indicate you can adjust the brightness, and that there are audible and visible alarms, but again the documentation is missing any information on these functions. If you can deal with the scant instructions the unit is a handy addition to your medical kit.