The correct answer is the tracheae.

• Tracheae: A network of air-filled tubes that branch throughout the insect's body, allowing direct gas exchange between tissues and the environment.
• Skin: Some gas exchange occurs, but it's not the primary structure.
• Malpighian tubules: Excretory organs, not involved in gas exchange.
• Flame cells: Found in some invertebrates, involved in osmoregulation and excretion, not gas exchange.