Step 1: Count unpaired electrons:
Use electron counts. Li2 has 6 electrons, N2 has 14, O2 has 16 and F2 has 18.
Step 2: Fill orbitals:
For N2 and Li2 every filled orbital holds a pair. In F2 the antibonding $\pi^*$ pair is also full. In O2, Hund's rule puts the last two electrons in separate $\pi^*$ orbitals with parallel spins.
Step 3: Result:
O2 has two unpaired electrons and is attracted into a magnetic field. The other three are weakly repelled (diamagnetic).
Final Answer:
O2 is the paramagnetic molecule.
\[ \boxed{\text{(C) }\text{O}_2} \]