See the Wired article by Wil McCarthy:
Strange Blood
--Cataclysmic shortages. Tainted supplies. There is a solution: artificial blood..

To truly end blood shortages and the fears that help produce them, hospitals would need a fluid that's laboratory pure, universally compatible with any human blood or tissue type, and indefinitely storable at room temperature. Most important, it would have to perform the function of oxygen delivery, so far the most elusive function to mimic in efforts to create fake blood. Simply adding oxygen-carrying hemoglobin to a substance like saline won't work - the raw hemoglobin molecule turns out to be both short-lived and toxic to the kidneys and liver unless surrounded by the fatty envelope of the red cell. And numerous other creative workarounds - like encapsulating the molecules in tiny globs of fat or chaining them together into polymers - have failed. Oxygen and CO2 can be dissolved directly into droplets of liquid perfluorocarbon, which holds and releases the two gases about as efficiently as hemoglobin does; when oxygenated, this liquid is even breathable - remember the rat in The Abyss ? This approach too, however, produces side effects, from toxicity to allergies to exhaling an ozone-depleting gas.

Only one oxygen-carrying blood substitute has ever been approved by the FDA. That was Fluosol, a perfluorocarbon additive developed in the US and marketed by Japan's Green Cross corporation from 1989 to 1993, during which time it was infused into some 13,000 patients in the US annually. Unfortunately, Fluosol was a frozen, two-part drug that had to be thawed and mixed immediately prior to use, and in large doses it required patients to breathe pure oxygen (potentially toxic) for the weeks it took their natural blood supply to recover. Meanwhile, doctors had to keep pumping the stuff in every 12 hours or the patient would die, bloodless in a cloud of exhaled fluorocarbons. Fluosol was eventually pulled off the market.

That hasn't stopped others from trying. Today around 10 companies are pushing blood substitutes through the FDA approval process.