[tommya300 (OP)]

Why is it or why isn't it.

[Bored chemist]

It is strongly paramagnetic because (unusually) oxygen has a ground state with unpaired electrons.

[chemgeek]

Yes- the University of Nottingham did a demonstration of this on their open day with a test tube of liquid oxygen hanging from a string and a magnet  []

[tommya300 (OP)]

Can oxygen exhibit this property in the other states of matter?

[Bored chemist]

Yes, it's also paramagnetic as a solid and a gas.

[rosy]

Note that (molecular) oxygen is magnetic in the sense that iron is magnetic - it is attracted to a magnet.
It is not magnetic in the sense of being, in the bulk, a magnet in its own right... a vial of liquid oxygen won't attract a lump of iron to itself.

This is because in a paramagnetic substance such as O₂, although the individual molecules may be considered as a bit like little magnets an overall magnetic field is generated only if there is an overall tendency for those magnets to line up in a particular direction. Soft iron can be magnetised (turned into a permanent magnet) by the presence of a magnetic field because those little magnets can be forced to line up and, once lined up, will remain aligned. Because oxygen's a liquid all the molecules are continually tumbling about and don't  stay aligned. 

It's possible (I don't know and haven't looked it up) that if liquid oxygen were cooled to a solid in a magnetic field a permanent magnet might result... but in any case as BC says the solid would be attracted to a magnetic field.

Although gaseous oxygen is attracted to magnets, the magnetic force per molecule wouldn't be strong enough to detectably enrich the oxygen in the atmosphere around a magnet in the face of normal air circulation, so it's not an important effect.