The sequences are remarkably similar across species, especially at certain positions.
For example, every one has a phenylalanine at position 10, a histidine at 18, a proline at 30 and a methionine at 80. Clearly, evolution selects against any change at these positions.
In addition, numerous sites display a limited number of changes, in most cases allowing only residues with similar properties.
For example, residue 98 can be only leucine, isoleucine, or valine - all lipophilic residues.
Likewise, His18 (shown in the graphic above), which coordinates to the heme iron, is conserved throughout.
The implication is that the strongly conserved residues contribute significantly to the structure and function of the protein.
Other positions contribute very little and are highly variable; evolutionary drift randomizes these residues.
Note that human and chimpanzee sequences are identical, and macaque and spider monkey are very similar to the human/chimpanzee sequence. This implies a common and relatively recent evolutionary divergence...