**Core Concept:**
Oxygen (O2) and carbon dioxide (CO2) are exchanged between the alveoli and blood in the lungs via diffusion, a passive transport process that depends on the concentration gradient. Oxygen binds to hemoglobin (Hb) in the red blood cells (RBCs) to form oxyhemoglobin (HbO2), which then transports O2 to the tissues where it is required for cellular respiration.

**Why the Correct Answer is Right:**
To explain the correct answer, we need to understand the structure and function of the respiratory system. In the lungs, oxygen diffuses from the alveoli (air sacs) into the capillaries surrounding the alveoli. This diffusion occurs across two plasma membranes: the alveolar membrane (between the alveoli and capillaries) and the endothelial (inner lining) and epithelial (outer lining) membranes of the alveoli.

**Why Each Wrong Option is Incorrect:**
A. Diffusion across one plasma membrane (e.g., only alveolar membrane) is incorrect because oxygen needs to cross both the alveolar and capillary membranes to reach the hemoglobin in the red blood cells.
B. Diffusion across two plasma membranes is also incorrect because this answer matches the correct answer, so we will not elaborate on this choice.
C. Diffusion across three plasma membranes (e.g., alveolar, endothelial, and epithelial membranes) is incorrect because only two plasma membranes are involved in the process of oxygen diffusion in the lungs.
D. Diffusion across four plasma membranes (e.g., alveolar, endothelial, epithelial, and red blood cell membrane) is incorrect because oxygen needs to cross only two plasma membranes: alveolar and capillary.

**Clinical Pearl:**
The correct number of plasma membranes involved in oxygen diffusion is crucial in understanding respiratory physiology and pathology. A misconception of this number might lead to mistakes in diagnosing and treating respiratory disorders, such as hypoxia (low oxygen levels) or hypercapnia (high carbon dioxide levels). For example, in cases of respiratory failure, understanding the correct number of plasma membranes involved in oxygen diffusion can guide the selection of appropriate therapy, such as mechanical ventilation to increase the partial pressure of oxygen in the alveoli and improve oxygenation.