maybe spiders just don't need a lot of oxygen, so there was never an evolutionary need for better oxygen transport?
And rather than hemoglobin, they use a far more complicated transport system which allows their blood to release more or less oxygen depending on the need of the cells based on various chemical signals; also, I think they're able to use this special blood to raise their blood pressure somehow to initiate molting.
I saw a PBS show on this once. Really cool stuff -- their blood is clear, too, and their circulatory system is mostly open (i.e. the blood flows freely between major organs with a very minor vascular/capillary system in place).