Remember:
\[
\text{Alkanes} \rightarrow \text{Saturated}
\]
\[
\text{Alkenes and Alkynes} \rightarrow \text{Unsaturated}
\]
Ethane is an alkane and therefore saturated.
Step 1: Know what saturated means. A saturated hydrocarbon has only single bonds between its carbon atoms. These are the alkanes.
Step 2: Check each choice. Ethane ($C_2H_6$) has a single bond. Ethene has a double bond, ethyne has a triple bond, and benzene has a ring with alternating double bonds.
Step 3: Pick the saturated one. Only ethane has all single bonds, so it is the saturated hydrocarbon. \[ \boxed{\text{Ethane}} \]