The animal kingdom has many different types of circulatory systems, and thus many different types of blood. However, you are correct in assuming that there are some animals that lack a circulatory system altogether. These include nematodes, flatworms, corals, sea anemones, and jellyfish. These animals have evolved ways to transport oxygen and nutrients without using blood cells, usually just by diffusion from their surrounding environment. These organisms also don't have lungs for the same reason: they can get oxygen directly through their skin.

Flatworms, Jellyfish, sea anemones & corals [they're all cnidarians]. Nematodes [little worm like animals]. You can see a nice picture of these animals here. They do not have a circulatory system and thus do not have blood. Their body cavity has no lining or fluid within it. They obtain nutrients and oxygen directly from the water that they live in.