Physics be weird!
Specifically, the main reason for this is that H2 and O2 have pretty low intermolecular cohesion: that is to say, a molecule of H2 doesn’t feel a very strong pull towards other nearby molecules of H2, and similar for O2. H2O on the other hand, actually has very strong intermolecular forces; it is a polar molecule, which means that when it is around other polar molecules they hug together tightly.
The other big factor that comes into play is molecular weight. Larger, heavier molecules and atoms like, say, iron, are solid because they are heavy, so it takes a lot more energy to make them start jiggling around to the point where they become a liquid, and even more energy to turn them into a gas. H2 is extremely light, so it doesn’t take a lot of energy to make it into a gas.
It’s important to recognize that when we say “H2 is a gas” what we actually mean is “H2 is a gas at room temperature and standard atmospheric pressure”. If the atmospheric pressure was really high, H2 might be a liquid, or even a solid! Similar to if the temperature was really low; hydrogen becomes a liquid at -252C while oxygen becomes a liquid at -297 C. Even if the air around you might feel chilly, it still actually has a pretty large amount of energy in it, at least compared to the vacuum of deep space or absolute zero. The conditions on the surface of the Earth just happen to result in certain substances being in particular states, like how water can be either a solid, liquid, or gas, depending on where you are on the surface, while gallium is only a liquid metal in warm areas, not cold areas like the arctic, and nowhere on the surface is hot enough to make gallium a gas. On some very cold planets we might expect it to rain H2 instead of water; on Saturn’s moon Titan, for instance, we think it probably has the right conditions that instead of a ‘water cycle’ of evaporation and precipitation it has a methane or ammonia cycle.
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