When percentage saturation of haemoglobin with O2 is plotted against pO2, we get a sigmoid curve. This curve is called Oxygen Dissociation Curve.
Oxygen has a high affinity with haemoglobin. Binding of initial molecules of oxygen is difficult, but binding of subsequent molecules becomes easier. This is evident by the rising trend in the initial phases of the sigmoid curve. Once the oxygen binding reaches its optimum level, haemoglobin cannot take up any more oxygen molecules and hence the graph shows a plateau phase. These are the reasons for S-shape of the graph.