Alveoli of the lungs are the grape bunch looking little round sacs which have capillaries all over them for diffusion of oxygen and carbon dioxide accross their surface. They are round to increase surface area for diffusion of these materials to be the faster. They have caplillaries all over them for this diffusion to occur (pulminary capillaries). They are also covered in a fluid called surfactant to allow diffusion to occur (diffusion occurs most readily over moist surfaces)

They are microscopic so it's hard to find an actual picture of them. Visualize it with cartoon images like this:




Remember: Trachea--> Bifurcation of Trachea to Bronchi--> Primary to Secondary Bronchi--> Bronchioles--> Alveoli