The blue whale is the largest animal _________ the world.

The correct answer is "in." The phrase "in the world" is commonly used to refer to location or existence within a certain context or environment, specifically when talking about something being part of a larger whole, such as the entire planet. In this case, "the blue whale is the largest animal in the world" emphasizes its size among all animals that exist on Earth.

Using "on" would imply a more surface-level context, which doesn’t accurately convey the meaning of being part of the entirety of the world's fauna. "Of" could suggest possession or characteristic, but it doesn't fit well in this context. Lastly, "at" typically denotes a specific point in space or time and is not suitable for expressing the broad concept of presence or existence among all animals globally.