Checking for Null before adding into List
This is a bit neater:

List&lt;Option&gt; ListOption = new List&lt;Option&gt; { };
Action&lt;string&gt; add = x =&gt; { if (!String.IsNullOrEmpty(x)) ListOption.Add(new Option { Name = x }); }
add(Option1);
add(Option2);
add(Option3);
add(Option4);
return ListOption;


This is perhaps even better:

return (new string[] {Option1, Option2, Option3, Option4})
       .Where(x =&gt; !String.IsNullOrEmpty(x))
       .Select(x =&gt; new Option { Name = x })
       .ToList();