We need oxygen to act as a final electron acceptor in the electron transfer phosphorylation and combine with H+ to form water. We need a final electron acceptor because if you don't take electrons off of a complex 4 in the electron transfer system then the entire system gets backed up and the electrons can't move from complex 3 to complex 4, or from 2 to 3, or from 1 to 2. This means you can't pump electrons and cannot create a gradient which ultimately means there is no production of ATP and without ATP you have no energy. So basically you need oxygen in order to create energy.
We need to oxygen to burn our food material present in our blood . The burned food gives us energy to survive.