The correct answer is - When studying mythology, I learned about several gods and goddesses: Zeus, Apollo, Aphrodite, Hermes, and Hercules.
This is the only sentence which is punctuated correctly because the first part (before the list) ends abruptly; it is obvious that something needs to be placed there. In this case, that is a colon.
The other sentences have leading words (particularly, such as, were) that don't require a colon after them.
After several hours of deliberation the jury returned with the verdict—not guilty.
