Water
A BBC short item  explains that every molecule on Earth has existed for billions of years, and all of them came from elsewhere. Water is alien because it arrived on asteroids and comets. It is the second most common molecule in the universe. Why is it not a gas? It is made of two very light elements. Ice floating on water is also an oddity. Also, hot water freezes faster than cold, and no-one knows why this is. Molecules of water can move up against the force of gravity (that is due to surface adhesion).