1. Covalent bonds hold atoms together in a molecule

Breathe in! The gaseous substances found in the air we breathe exist as molecules. A molecule is an electrically neutral particle, consisting of multiple atoms of non-metallic elements that are covalently bonded.
Molecules can comprise just one element, like diatomic nitrogen and oxygen molecules. Molecules can also be compounds, like water and carbon dioxide.
2. An exclusive clique of atoms: discrete molecule

Indeed, atoms share electrons in a covalent bond. However, they only share up till each atom in the molecule has achieved the noble gas electronic configuration. This is why a diatomic nitrogen molecule cannot form a covalent bond with yet another atom.

In other words, nitrogen exists as discrete molecules. The molecules are separate and distinct, with no covalent bond between them.
3. We are just acquaintances: weak intermolecular forces in simple molecular structure
When you cool a sample of gaseous nitrogen enough, it condenses to form liquid nitrogen. By enough, I mean a mind-whooping, brain-freezing temperature of -196 °C. Brrrrrrr.
Likewise, cooling a sample of gaseous carbon dioxide causes it to deposit as solid dry ice at -78 °C. So what attractive forces are holding the carbon dioxide molecules in the solid?

Carbon dioxide has a simple molecular structure. In the solid state, intermolecular forces of attraction hold the discrete molecules in fixed positions. These attractive forces are intermolecular, as they exist between molecules.
Compared to covalent and ionic bonds, the intermolecular forces of attraction are weak, and can be easily overcome with minute amount of energy. This explains the low boiling point of nitrogen and the low sublimation point of carbon dioxide.
Simple molecular structures have low melting, boiling, and sublimation points, as a small amount of energy is needed to overcome the intermolecular forces of attraction between molecules.
4. Everything also cannot
Without free-moving electrons or ions, simple molecules simply cannot conduct electricity in all states.
Simple molecules cannot conduct electricity.

They also cannot dissolve in water, though there are important exceptions like carbon dioxide (which unfortunately is rather soluble in water to acidify ocean).
However, they are soluble in organic solvent like the ethanol in perfume, and turpentine in paint remover.
Simple molecules are insoluble in water but soluble in organic solvents.
5. Closing remarks: the unique properties of simple molecular structure
To conclude, simple molecules:
- Have low melting, boiling, and sublimation points (and hence most exist as gas and liquid at room temperature and pressure)
- Cannot conduct electricity in all states
- Are insoluble in water but soluble in organic solvents