The decreased atmospheric pressure at high altitudes of 3000 feet & above affect the way hot air expands and how steam is created in baked goods. This causes your baked goods to rise way too much to the point that they collapse. Therefore...
1) You will need to reduce the amount of your chemical leavener (ex. baking soda, baking powder) by 1/3 for altitudes at 3500 feet, by 2/3 at altitudes over 5000 feet.
2) Your eggs should be under-whipped to avoid incorporating too much air, which would also create too much of a rise.
3) For your yeast-leavened products, you should bake them before they are fully proofed -OR- reduce the yeast by 20% when baking at altitudes over 5000 feet.
4) You need to increase your oven temperature by 25 degrees Fahrenheit (4 degrees Celsius) at altitudes over 3500 feet so that the structure of your baked good sets rapidly.
Also, the boiling point decreases at higher altitudes which causes more moisture to evaporate from your baked goods while they're in the oven. This will cause dryness and excessive sugar proportion in your products, which you will see as white spots on products like cake.
Therefore, to help adjust for this you will need to reduce every 8 ounces of sugar by 1/2 ounce at 3000 feet and by 1 ½ ounces at 7000 feet.