A compound is a substance formed from two or more elements chemically bonded together. Let's analyze each option:
Ammonia (NH$_3$) is a compound made up of nitrogen and hydrogen.
Water (H$_2$O) is a compound made up of hydrogen and oxygen.
Oxygen (O$_2$) is a molecule consisting of two oxygen atoms, not a compound, since it contains only one type of element.
Carbon dioxide (CO$_2$) is a compound made up of carbon and oxygen.
Thus, the correct answer is (3) Oxygen.