Oxygen first appeared on Earth between 2.5-1.6 billion years ago, as the metabolic product of early forms of bacteria. When in sufficient quantity, this new gas drove most living things to extinction, thus ushering a new era of living organisms that had to evolve accordingly. Because we are basically a continuation of those living organisms, we too need oxygen to survive.
Oxygen was here first, and in great quantities. Life just "learned" how to use it.
There are the obvious chemical/biological reasons - if that's what you're looking for - but these are readily available online.
Read more here.
