We present results of GGA+U calculations for the "d^0 magnet" RbO_2, where magnetic properties are due to partially filled oxygen p orbitals. We show that on-site interactions on the oxygen sites lead to a strong tendency towards the formation of an orbitally polarized insulating state, in contrast to the half-metallic behavior predicted for this class of compounds within pure LDA/GGA. The obtained energy differences between different orbitally ordered configurations are sizeable, indicating an orbital ordering temperature higher than the antiferromagnetic Neel temperature of ~15 K. Our results demonstrate the importance of correlation effects in p electron magnets such as RbO_2.