Step 1: Understand the drying process for ammonia.
Ammonia (NH$_3$) is a gas that can be dried by removing its moisture content. Certain drying agents can be used to absorb the water vapor from ammonia gas.
Step 2: Analyze each option.
- CaO (Calcium oxide) is a desiccant but is generally used for drying gases like carbon dioxide and not ammonia.
- P$_4$O$_{10}$ (Phosphorus pentoxide) is a highly effective desiccant that is commonly used to dry ammonia by absorbing moisture and forming phosphoric acid.
- Conc. H$_2$SO$_4$ (Concentrated sulfuric acid) is also a drying agent but is more commonly used for drying gases like hydrogen chloride.
- Anhydrous CaCl$_2$ (Calcium chloride) is effective in absorbing water but is not as commonly used for drying ammonia specifically.
Step 3: Conclude the correct answer.
Phosphorus pentoxide (P$_4$O$_{10}$) is the most effective and common drying agent for ammonia.
Final Answer:
\[
\boxed{\text{P}_4\text{O}_{10}}
\]