The alveoli are lined by thin squamous epithelium, which helps in easy diffusion of gases across the respiratory membrane.  The epithelial cells are further of two types: type 1 and type 2 alveolar epithelial cells/pneumocytes.The type 2 cells secrete alveolar surfactants which reduce the surface tension within the alveoli and prevent them from collapsing, there by, maintaining enough surface area for effective diffusion of gases.  The overall thickeness of the respiratory membrane is just 0.6 micrometers on an average. Thus, the distance for the diffusion of gases between a pulmonary capillary and the alveolar epithelium, is obviously very little, also contributing to the rapidity of exchange.