Step 1: Understanding the Concept
Sponges and coelenterates have no respiratory organs, and their body wall is only a few cell layers thick.
Step 2: Gas exchange
Each cell is close to the surrounding water, so oxygen enters and carbon dioxide leaves by simple diffusion through the plasma membrane over the body surface.
Step 3: Why the other options fail
Book gills belong to king crab, book lungs to scorpions and spiders, and cloacal respiration to certain turtles and sea cucumbers.
Final Answer:
Sponges and coelenterates respire through the plasma membrane.
\[ \boxed{\text{(B) }\text{Plasma membrane}} \]