I mentioned earlier that breathing in mid-measure, and skipping a note in the process, has been hard for me as I tend to lose time when I try it. But I know it's important so I did a little research and was a bit more surprised by what I didn't find than what I did...
The best discussion of when to breathe that I found is Brother Steve's article on the subject. L.E. McCullough also has a couple of pages on when to breathe in his tutorial, although for some reason it's one of the last items in the book and one of the only lessons for which there is no audio demonstration on the accompanying CD. But that's at least better than my other tutorial book which doesn't seem to mention breathing at all!
But none of these tutorials have any practical advice for how to breathe and skip a note without losing time in the piece.
So here's something which may seem obvious to folks who have played for a while, but took me a bit to realize: You can continue to finger the note as usual even though you don't blow it while you breathe. This way you're not disrupting the normal movement of your fingers during the breath. This is much easier for me to do than my first attempts, where I didn't finger the note at all. I still lose time when doing this at a fast tempo, but much less so than before, and I think it's only a matter of practice before I have this mastered.
Update (21 September 2005): In hindsight, I think the suggestion above is profoundly wrong.