You can also say goodbye to anything resembling performance...
When I was in the Marines, most of our new Patrol cars were Ford Corwn Vic with the Police package and the CNG powered engine... The mileage on them sucked ass, they couldn't get out of their own way they were so slow, and even top end was less than most stock Civic DX's. While I think alternative fuels are a good idea in general, for a performance increase, your gonna be sorely disappointed.
Oh.. and the big erason you don't see liquid O2 burnt in case, is the fact that it doesn;t burn. It explodes. It needs to be mixed with something else (in the case of Nitrous, it's 1 part O2 to 2 parts Nitrous) to keep it stable.