Answer: molecules
Justification:
1) Given formulas: H₂, H₂O, H₂O₂, CH₄.
2) A molecule is the chemical combination of two or more atoms through covalent bonds.
3) Non-metals only can bond among them by covalent bond, i.e. by sharing electrons.
Two nonmetals cannot bond to each other in other way (ionic bonds) because any of them will not be willing to release an electron completely.
Since the two nonmetal elements just need a few more electrons to complete their respective valence electron shell, they will do it by sharing electrons instead of releasing them.