Proponents of the micro-nuke theory of controlled demolition have argued that the molten metal found weeks after 9/11 cannot be explained by thermite, since fire requires oxygen. They say the red-hot metal underground proves that nuclear devices were used on 9/11.

It was pretty easy to find the error in the above argument. Thermite does not require atmospheric oxygen in order to burn, so a thermite fire could continue burning underground.

Thermite is a mixture of iron oxide and aluminum.
THE OXYGEN FOR THE REACTION IS PROVIDED BY THE IRON OXIDE.

Here is the equation:

FE2 O3 + 2AL ---> AL2 O3 + 2 FE
Thermite = Iron Oxide + Aluminium ---> Aluminium Oxide + Iron + Heat
(from http://en.wikipedia.org/wiki/Thermite)

The same amount of oxygen goes into and comes out of the reaction; it just changes over from iron oxide to aluminium oxide.

This makes sense - if the reaction depended on oxygen from the air, it wouldn't burn so hot.
Air is only about 20% oxygen and is also very diluted being a gas, compared to a solid like iron oxide - that's why some rockets use solid fuel.