All I had to do was use my MacPorts: after I ran sudo port install unixodbc in the Terminal, I ran again

at the R console and it worked fine.

Weirdest thing. I distinctly remember that this used to be a problem. That is why I set up RJDBC in the first place. My previous attempts at installing RODBC on a Mac failed with the well-documented missing header errors:

The headers were there alright, in /opt/local/include; it’s just that the RODBC installer couldn’t find them, no matter where else I tried to symlink them.

Now I wonder if this fix also works on Yosemite.