Step 1: Quick Count:
Count the electrons in the $\pi^*$ level. O$_2$ has 16 electrons in total, so two electrons go into the two empty-looking $\pi^*$ orbitals, one each.
Step 2: Bond Order:
Bond order $= (10-6)/2 = 2$, and the molecule has a double bond with two parallel spins. That is why liquid oxygen is attracted by a magnet.
Step 3: Others:
N$_2$ has 14 electrons and F$_2$ has 18 electrons, in both cases every MO is full or empty. O$_3$ has no unpaired electron either. So (A).
Final Answer:
Option (A), O$_2$, is paramagnetic.
\[ \boxed{\text{(A) } \text{O}_2} \]