Alveoli

Thin-walled, tiny air sacs located at the ends of the smallest airways in the lungs (the bronchioles) where the exchange of oxygen and carbon dioxide takes place.

Source: GreenFacts, based on WebMD Asthma Glossary of Terms 

Bronchi, bronchial tree and lungs

1. Trachea
2. Pulmonary artery
3. Pulmonary vein
4. Alveolar duct
5. Alveoli
6. Cardiac notch
7. Bronchioles
8. Tertiary bronchi
9. Secondary bronchi
10. Primary bronchi
11. Larynx

Source: Rastrojo  (public domain)