The human gas exchange system is made of the trachea, from which the bronchi branch off, followed by the bronchioles into the lungs, and finally the alveoli, which are the functional unit of the lungs. Of course this is nonsense without an image:

Air enters the lungs via the trachea, bronchi and bronchioles into the tiny air sacs – the alveoli. The epihelium of the alveoli is extremely thin (just one-cell wide, in fact) to allow fast diffusion of oxygen into the red blood cells, and of carbon dioxide out of them. The capillaries surrounding alveoli are so narrow, that the red blood cells have to be squished in order to pass through. This shortens the diffusion pathway, which in turn increases the rate of diffusion.