I don't think there's enough pressure differential in the Earth's atmosphere to cause the bends. As previously mentioned, underwater you can experience many atmospheres of pressure. In air, you have just the one (obviously). That shouldn't be enough to affect blood-gas levels hugely. Take a look at the Stratos jump - Felix Baumgartner jumped from 128,000 feet, at which point the ambient pressure is about a third of one percent of what it is on the ground. Baumgartner went from that to full atmospheric pressure in nine minutes - not instantaneous, but definitely not gradually enough to count as the rest stops that deep-sea divers do to avoid the bends.
So, extrapolating from that, and the fact that 128,000 feet is WAY higher than any point on the Earth's surface, I'd say that the bends is not a problem. The only real danger would be to their ears. If your teleportation method transports the air inside the character's ear along with them, then they'll get quite a pressure difference, which would hurt, but a simple hold-nose-and-blow would equalise that the same way that divers do it (in mild cases, it'll fix itself, either immediately or as soon as they swallow). Again, the atmosphere doesn't give enough of a differential to be really dangerous - passenger aircraft have lost cabin pressurisation at flight altitude and the passengers were ok (some earaches and headaches for those who couldn't equalise, such as those with head colds).
The other issue would be that thinner air has less oxygen, so your character might notice shortness of breath if they teleport to somewhere considerably higher after spending an appreciable length of time at a lower altitude. There's some literature about discussing acclimatisation of mountaineers, and similar stuff regarding athletes competing in venues at higher altitudes than where they normally train. The reverse is also true; coming down a long way may result in slight light-headedness, like when you hyperventilate.
In summary, I reckon you could teleport anywhere without worrying too much about altitude - equalise your ears when you arrive, take a few deep breaths if you've gone up, breathe gently and slowly if you've gone down, and take it easy for a few minutes. Other than that, the biggest danger you have from extreme altitude changes is finding out that you've teleported somewhere with no ground beneath you. Interesting side issue there: if you find yourself in mid-air, and teleport away, do you keep your speed? If you fall for more than a few seconds, teleporting to the ground could break bones...