Being in shape (decreasing your surface air consumption) is a big part of improving if you've been diving for awhile. If not, you will see your biggest gains just by getting used to the equipment and breathing calmly underwater. Here are some keys (in the order of the most bang for buck, so-to-speak)
1) If you are not in shape - get in shape, do cardio exercises, etc.
2) If you are new to SCUBA (or even if you aren't), dive, dive, dive, then dive some more
3) Learn how to breathe (more later)
4) Optimize your trim and finning (good bouyancy control, good fin use)
The best breathing style is as follows -
Take a SLOW deep breath, from your diaphram, if you know what/where that is. The easiest way to explain in writing is if you are standing up, try to breath air down to your stomach (inflate the lower 1/2 of your abdomen). We are taught to breath with our chest (at least most guys are), but the most efficient breathing will be from the diaphram.
After breathing in as slowly and deeply as you can, pause, with your airway open (this is NOT skip breathing, which you should not do), then exhale slowly and calmly.
Practice this during your dives whenever you think about it. If you get headaches after diving, chances are you are not breathing deep enough, or you are pausing too long (holding your breath) which is contributing to CO2 buildup. The pause is momentary, a heartbeat or so.
Hope this helps!