What kind of gas do arteries carry?

arteries carry oxygen

This is a trick question ! The answer above is absolutely right in that the arteries transport oxygen to everywhere in the body that might need it. The trick lies in the detail; the oxygen is not transported in the form of a gas.

What happens is this. Red blood cells contain a substance called haemoglobin; it's a solid. In the lungs oxygen reacts with this to form oxyhaemoglobin (also a solid). This travels round the arterial system; when a cell needs oxygen it grabs an oxygen atom from a passing red blood cell, at which point haemoglobin reappears in the red cell.

The teacher who set this question should be ashamed.