You should rephrase your question. Air is well mixed, which means that all of the molecules in an air sample should be the same temperature. I think what you’re really wanting to know is which molecule takes the least amount of energy to raise its temperature by itself.

If you start with 1 gram of oxygen, 1 gram of nitrogen, and 1 gram of argon heat by 100 Celsius, then how much additional energy does each have…?

Oxygen specific heat is 0.92 J/gK. 100 Celsius of change is the same as 100 Kelvin of change so (0.92 J/gK)(1 gram)(100 K) = 92 J

Nitrogen specific heat is 1.04 J/gK. 100 Celsius of change is the same as 100 Kelvin of change so (1.04 J/gK)(1 gram)(100 K) = 104 J

Argon specific heat is 0.52 J/gK. 100 Celsius of change is the same as 100 Kelvin of change so (0.52 J/gK)(1 gram)(100 K) = 52 J

From all of this, if you had an air mixture of 1 gram Oxygen, 1 gram Nitrogen, and 1 gram Argon and wanted a temperature change of 100 Celsius, you would need 92+104+52 = 258 Joules to heat it up.

As you can see of these three gases, nitrogen takes the most energy to increase its temperature. With respect to what’s in earth’s atmosphere and ignoring non-naturally occurring industrial pollutants, carbon dioxide, methane, and water vapor take a lot more energy to heat up and must lose more energy to cool down.