The natural numbers along with 0 form the collection of whole numbers. So, the numbers 0, 1, 2, 3, 4, ... form the collection of whole numbers. A natural number which is not divisible by 2 is called an odd whole number. So, in the collection "0, 1, 2, 3, 4, ...", 1 is the smallest odd whole number.
Hence, the correct option is (b).