Algorithm to find k smallest numbers in array of n items

you will need to find the k'th smallest element using 'selection algorithm', which is O(n), and then iterate the array again and return each element which is smaller/equals it.
selection algorithm: http://en.wikipedia.org/wiki/Selection_algorithm
you will have to pay attention if you have repeats: you will need to make sure you are not returning more then k elements (it is possible if for instance you have 1,2,...,k,k,k,...)

EDIT :
the full algorithm, and returning a list, as requested: let the array be A

 1. find the k'th element in A using 'selection algorithm', let it be 'z'
 2. initialize an empty list 'L'
 3. initialize counter<-0
 4. for each element in A: 
 4.1. if element < z: 
   4.1.1. counter<-counter + 1 ; L.add(element)
 5. for each element in A:
 5.1. if element == z AND count < k:
   5.1.1. counter<-counter + 1 ; L.add(element)
 6. return L

note here that a 3rd iteration is required if your list might have duplicates. if it can't - it is needless, just change the condition in 4.1 to <=.
also note: L.add is inserting an element to a linked list and thus is O(1).