Plasma membranes are the barriers separating cells from their environment. Think of them as the walls and gates surrounding massive factories -- what comes in and what goes out is tightly controlled. Because of the chemistry and fluidity of phospholipid bilayers, certain types of molecules can pass through freely, while other types have no chance without help from the cell. The former types of molecules use a mixture of size, chemistry, and the forces of diffusion to squeeze through what seems to be an impenetrable barrier.
Diffusion is the tendency of molecules to move from an area of high concentration to an area of low concentration. This tendency arises because molecules move randomly throughout a space. The concept of “spreading out” can be seen by dropping food coloring into a container of water. Eventually, the dye particles will spread evenly throughout the liquid instead of remaining in the same spot. Because of the differences between the cell interior and the fluid outside, diffusion will occur naturally in both directions. The only thing standing in its way is the plasma membrane, but certain types of molecules can pass directly through the membrane -- this is referred to as simple diffusion, and it happens with no input from the cell whatsoever.
Gas molecules such as diatomic oxygen and carbon dioxide are so small that they can fit through the empty spaces in the membrane. They are also nonpolar, meaning electron charge is evenly distributed throughout the compound. As a result, they will not be repelled by the nonpolar interior of the membrane. Gas exchange across the membrane works perfectly for human cells -- dissolved oxygen necessary for aerobic respiration is more concentrated outside the cell, while carbon dioxide, a byproduct of the same process, is more concentrated inside the cell. As a result, oxygen naturally diffuses into the cell while carbon dioxide diffuses out.
Even though water is a highly polar molecule with an uneven distribution of electron charge, it is small enough to pass directly through the membrane. Because water can get through cell barriers, the human body must carefully balance the electrolyte concentration of extracellular fluids. If the fluid becomes too dilute, water flows into cells, potentially causing them to swell and burst. On the other hand, if the salt concentration outside the cell is too high, water will flow out of the cell, leading to possible collapse.
As their name might suggest, fat soluble vitamins -- vitamins A, D, E, and K -- can pass directly through the hydrophobic (fatty) membrane. Even though they are somewhat polar, alcohols such as ethanol can pass by simple diffusion in a similar manner to water.