Understand the definition of an ion: an ion is an atom or molecule that has gained or lost one or more electrons, resulting in a net electrical charge.
Examine each species to determine if it carries a charge: CH_4 (methane) is a neutral molecule with no net charge.
H_2O (water) is also a neutral molecule with no net charge.
Na^+ is a sodium ion that has lost one electron, giving it a positive charge, so it is an ion.
O_2 (oxygen gas) is a neutral molecule composed of two oxygen atoms sharing electrons equally, so it is not an ion.