An odd dominating set of a simple, undirected graph G = (V, E) is a set of vertices D ⊆ V such that |N [v]∩D| ≡ 1 mod 2 for all vertices v ∈ V . It is known that every graph has an odd dominating set. In this paper we consider the concept of connected odd dominating sets. We prove that the problem of deciding if a graph has a connected odd dominating set is NP-complete. We also determine the existence or non-existence of such sets in several classes of graphs. Among other results, we prove there are only 15 grid graphs that have a connected odd dominating set. AMS subject classification index: primary 05C35.