The lung consists of one cell thick bronchioles, which feed into round structures called alveoli, which are round in shape and also one cell thick. The bronchioles and alveoli are surrounded by capillaries, the walls of which are also one cell thick.
The fact that the bronchioles, alveoli and capillaries are one cell thick results in a short distance for oxygen to dissolve into the blood stream, increasing efficiency. This efficiency is further increased by the large surface area provided by the alveoli.