In which O-class does my Θ-result belong? In a multiple-choice test, I'm asked to solve the recurrence $T(n)=2T(n/2)+n/2$.
I've done this using the master theorem: $f(n)=n/2$, $a=2$, $b=2$, so we're in the second case and $T(n)=\Theta(n\log n)$.

But the possible answers are $O(\log n)$, $O(n)$, $O(n \log n)$, $O(n^2)$ and $O(n^2/\log n)$ and more than one may be correct. What do I do now?
You've solved the recurrence more precisely than the test-setter was expecting you to.  You know that $T(n)=\Theta(n\log n)$, which means that $T(n) = O(n\log n)$ and $T(n) = \Omega(n\log n)$, and that gives you the answer.

(By the way, I didn't check that you solved the recurrence correctly, but you can do that yourself. Answer checking is off-topic here, and you didn't ask for it, so I focused on the rest of your question.)