Let's start with conjugation. Enter Marvin Gaye because they are about to get it on! Ok so bacterial sex may be a bit of an exaggeration but it's easy to see why the process of conjugation has become perceived in this way. In this process a bacteria that contains the "sex pilus," a series of proteins on the bacteria membrane, extends and makes contact with a neighboring bacteria. The pilus can then contract which draws the bacteria closer together and finally, their membranes make contact. Now, essentially their is a direct link between the bacteria called a conjugation bridge. This allows easy passage of genetic material from the donor cell to the recipient and the recipient cell now contains whatever genes were sent through the conjugation bridge.
Transposons are like Rick James...super freaky. These things are small bits of DNA that can actually "jump" out of a genome! Yep that's right, these little guys jump out of one bacteria's genome and can recombine into another's, bringing whatever genes it carries along with it. Again, conjugation allows easy transfer through the conjugation bridge. Transposons are pretty nuts and I don't even know the entire details of how these things work, but they are very important in bacterial evolution. In fact, a ton of the human genome has been found to be derived from transposons!
Transformation is the last form of HGT. Here, a bacteria becomes "competent," or able to take up extracellular genetic material. What happens here is that bacteria that have holes in their membranes are able to take up genetic material from outside of the cell and then recombine it into their genome to obtain the traits. The DNA is obtained after cells die and rupture, releasing it's genetic material to surrounding cells. It's important to understand however that not all bacteria are able to do this naturally. Labs take advantage of an electric shock to make cells competent so they can insert whatever plasmids or other DNA they want to insert into bacteria. Some bacteria are naturally competent, like neisseria gonorrhoeae (last time I'm spelling that), and can take up DNA if it's available.
Through these methods, bacteria can obtain a wide variety of genes very quickly. Instead of waiting millions of years for evolution to produce better mechanisms of survival, bacteria can obtain new genes and immediately express new phenotypes without having to wait. This has been a scourge to the medical field due to the increase in antibiotic resistance in bacteria seen in hospitals. What's awesome here is that genes can cross genus and species lines from bacteria to bacteria, an impossible feat for humans. Imagine how awesome it would be to be able to exchange DNA with tigers, wolves, or birds and be able to recombine and express those genes! People could have bird wings, tiger strips, and wolf fur!
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