Before this goes any further, a few clarifications:
1. Gas exchange is central to life. Oxygen is needed in respiration* which generates usable energy without which life wouldn’t exist. Removing the resulting carbon dioxide is crucial too.
2. Water can be a gas too, in the form of water vapour. This may in certain organisms escape with the air, so water preservation versus gas exchange is always an important thing to bear in mind. This is especially important when talking about insects and plants.
Insects have a tracheal system made up of many tracheae which branch into smaller tracheoles. All tracheae connect to the exoskeleton of the insect, so that air diffuses in and out through the spiracles.
The technical terms highlighted above are important in describing what really is just a bunch of holes and tubes. Here’s a video that describes…