Oxygen (O-2) and nitrogen (N-2) are the two most abundant gases in the Earth's atmosphere and have generally similar physical properties, yet O-2 is twice as soluble in water as N-2, a feature that may have physiological and other biological consequences. Furthermore, examination of 47 other solvents shows that the mole-fraction solubility of O-2 always exceeds that of N-2, with O-2/N-2 solubility ratios ranging from 1.20 in n-dodecane to 2.31 in nitromethane. The greater solubility of O-2 is especially puzzling since the molecular polarizability of N-2, a feature normally associated with higher solubility, is greater than that of O-2. Several theoretical and empirical approaches are explored in an effort to understand this observation: (1) molecular structure-property relationships, (2) thermodynamic analysis, (3) scaled particle theory, (4) ideal solution theory, and (5) quantum-chemical calculations. Speculations on the causes are offered.