As you saw in the chicken wing, arteries have thicker, more muscular walls than veins. Veins also have valves to prevent the backflow of blood. The biggest pressure drop, and hence the greatest point of control of blood pressure or blood flow to different organs, is across the arterioles. In addition to these functions, the blood is also the site of gas exchange. Regardless of the site, a thin epithelial tissue and many capillaries are involved.
Gas exchange occurs by diffusion through moist surfaces.
The skin of an amphibian is moist and has many capillaries underneath. As a result, some terrestial salamanders are lungless. Lungs in vertebrates vary greatly, from the blind sac of an amphibian to the highly extractive bird lung. The lung originated in a homologous fashion to the swim bladder seen in today's bony fishes, but whereas the swim bladder affected bouyancy, the lungs became modified to take in oxygen. Amphibians ventilate by pushing air into their lungs with positive pressure, but reptiles, birds, and mammals pull air in with negative pressure.