What non-metal is attracted by a magnet?

Oxygen, for one. In its gaseous state it moves too fast to be affected, but liquid oxygen can be trapped between the poles of a magnet:

Materials can be broadly classified into three sets:

Diamagnetism: All materials are diamagnetic, but their diamagnetic propoerties are easily masked by paramagnetic/ferromagnetic nature. Diamagnetism is the property of an object to be weakly repelled by all magnetic fields. doesn't matter if its near a north or south pole. It will always be repelled. With stronger magnets, the "weakly" becomes less weak, and we get levitating frogs:

Yup, that's a live frog, but more importantly(except to the frog I guess), he's diamagnetic. And he floats in the magnetic field--poor chap must be confounded.

Paramagnetism This is basically the opposite of diamagnetism. Paramagnetism is the property of a material to be attracted towards a magnetic field--again, it doesn't matter north or south. The strength of the attraction varies widely, but its always greater than the diamagnetic repulsion, and generally much less than ferromagnetic attraction. Paramagnetism is only observed in materials with unpaired electrons. Oxygen is paramagnetic (so is diatomic boron), so its attracted by the magnetic field. Note that not all metals are paramagnetic--in fact many are just plain diamagnetic materials (not sure of this)

Ferromagnetism: This is the property of a material to get permanently magnetised. Only a few elements are ferromagnetic (iron, cobalt,nickel, neodymium, and a few others). These are generally strongly attracted to a magnetic field.

There are many non metals attracted to magnets. Oxygen is an example, which is demonstrated in this youtube video. The property of being attracted to a magnet is called paramagnetism if you'd like to search for more about it.

Sticking to ferromagnetism, http://en.wikipedia.org/wiki/Ferromagnetism#Ferromagnetic_materials has a list of ferromagnetic materials. Several metal oxides are ferromagnetic - I don't know if you'd consider these to be non-metals.

Interestingly, the article claims that a lithium gas can be made ferromagnetic, though this seems a bit esoteric, and I don't know if it would actually be attracted to a magnet.