The role of oxygen in cellular respiration is to pick up electrons as the come-off the electron-transport chain. Remember that electrons are highly reactive and would readily combine (reduction) with many molecules present in the cell. Oxygen accepts these electrons and prevents them from doing damage by combining with them and 2 hydrogens (used in chemiosmosis) to form water.

When oxygen is not present the hydrogen/electron carrier NADH in the cell quickly become saturated with hydrogens and have no place to release their hydrogen atoms. This results in the entire aerobic pathway shutting down and the cell may die, if it cannot produce enough ATP by other pathways.