The bronchi of the lungs continue to branch until they end at
bronchi
alveoli
capillary
lobe

The answer is alveoli.

The bronchi conduct air to the lungs. They branch into secondary bronchi, which further branch into tertiary bronchi. They divide into small bronchioles. Bronchioles divide into terminal bronchioles, they into respiratory bronchioles, and later into alveoli. The alveoli are places where gas exchange occurs.