Why do some insects have hemoglobin while others have hemocyanin?

Oxygen is generally viewed by the world as being this pure and wholesome thing. In reality, the appearance of oxygen killed off a huge amount of life (great oxidation event). Oxygen has a dark side, like jekyl and hyde. An alternate viewpoint sees oxygen delivery systems such as hemoglobin etc to be a way of regulating the delivery of oxygen to cells, as too much can be toxic.

In fact, the use of oxygen to make energy (atp) generates a lot of free radicals (basically oxygen with an extra electron) and a metabolite of heme (bilirubin/biliverdin) acts in the mitochondria to mop up these radicals.

In terms of your question, I think it's important to know that we share a very similar set of enzymes with bacteria and plants relating to energy generation and oxygen use, and that these enzymes are widespread and conserved throughout the tree of life.

This article gives a great look into evolution of air breathing in water and land


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