How exactly is energy created by oxidative phosphorylation
How exactly is energy created by oxidative phosphorylation?

Energy is "created" by the syntesis of ATP. The ATP molecule is considered an energy carrier, because it is used in other reactions as a source of energy. The released energy comes from the loss of one or two phosphate gropus to form ADP or AMP.

Remember that energy is not created, but simply transferred. The oxidative phosphorylation is a mechanism to recreate the ATP using the energy from other sources (O2, nutrients, etc).

Also why do they need an electron acceptor? What would happen if there was no O2 to accept the electrons? 

I'm not sure I can give you a precise answer, but I'll try. In chemistry reactions, the system is always working towards equilibria. In general, if you take away one reagent of a reaction, there won't be a reaction at all. If there's no oxygen available, ATP won't be formed, and as a consequence the body resorts to other sources of energy, or cells will die.

Wouldn't they just bind to something else?

I don't think so. The electrons aren't free particles moving around the cell, the transfer only happens if all the reagents for the reaction are complete. Enzymes are, generally speaking, very specific, and what could happen is a "saturation" of NADH's which wouldn't be converted back to NAD and hence the cycle would stop.

But there's this talk of electrons being in "lower in energy" at the end. What does that mean? How is an electron lower in energy?

I don't remember hearing or reading that. Can you post some context or source?