The difference is the height the plane is flying at, I believe. A plane you would skydive from flies much lower and the air is dense enough to breathe. Airline passenger planes fly much higher and are required to have a pressurised atmosphere inside the plane to maintain the required oxygen for the passengers. If a window were to smash then the air would rush out very quickly and you would need the masks to breathe, however the movies showing people getting sucked out of the plane are exaggerating a myth.
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