Oxygen is undoubtedly Mario's greatest foe. Mario first encountered oxygen in Donkey Kong; it has since gone on to be a Mario series cliché to have challenging first levels filled with nothing but oxygen.
In every Mario appearance to date (as well as a few Dora The Explorer appearances and a Bob The Builder cameo), Oxygen has attacked by zooming toward Mario's gaping mouth. Upon doing so, the oxygen poisons Mario, making him briefly pause to go through a process known to those of the Real World as "breathing". Oxygen is a VERY formidable foe, especially considering that its gaseous fluidness allows it to completely surround the entire Mushroom Planet.
Oxygen also appears on other planets, such as Mars and Pluto (which is actually now just a dwarf planet, just like Luigi). It has yet to be discovered elsewhere, though; despite popular belief, it can not be found on Earth (where it has been totally replaced by the more environmentally friendly nitroglycerin).