Earthworms have a closed circulatory system, much like many other animals. However, the earthworm does not have gills or lungs to breath with. Amazingly, the outside of the Earthworm's body acts as a lung. Oxygen is taken in through the Dorsal Blood Vessel. This vessel takes in oxygen and sends it to the five hearts that are inside the Earthworm. Oxygen is then distributed through blood cells to different parts of the body that are in need of oxygen.
In the video below, please skip to 3 minutes and 30 seconds