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It took me a long time to sift thru the search results to find a comprehensive list of parts, tools, and supplies I needed to change out my O2 sensor. Rather than add to one of the myriad threads on the subject, I'd rather start another one. This way all the useful information is at the top. If you found this thread as a result of a search, I hope you find the information helpful.
Our cars come with three O2 sensors. Each of the two pre-cats has a sensor associated with it located above the precat. These two sensors are identical, and are called the "upstream" sensors. The third sensor is located farther down the exhaust near the main cat. This one is called the "downstream" sensor and has a longer harness than the other two.
Question 1 - Bosch or Denso?
Forum wisdom points us to Denso instead of Bosch. I won't get in to which is better and why, but you can click here for a search on the subject.
Question 2 - OEM or Universal?
You can get OEM (original equipment manufacturer) sensors that come with connectors and the correct cable length. They cost more than universal sensors, but they're easier to install. The only difference is OEM sensors come with a connector and two different harness lengths, depending on if it's upstream or downstream. If you're comfortable cutting and splicing wires, and you can cut the connector off the O2 sensors you're replacing, then use the universal sensors. They're functionally identical to OEM sensors, they're much cheaper, but they do require some fiddling.
Below are links to the 2 OEM sensors you need if you don't want to splice, as well as a link to the Universal sensor if you're prepared to tackle this project. Seriously, it's not hard.
IF YOU DON'T WANT TO SPLICE
Denso 234-4624 Oxygen Sensor (Air and Fuel Ratio Sensor)
Approx. $60. This is the OEM Upstream O2 sensor that goes before the precats. You need 2 of these.
Denso 234-4603 Oxygen Sensor (Air and Fuel Ratio Sensor)
Approx. $65. This is the OEM Downstream O2 sensor that goes after the precats. You only need 1 of these.
IF YOU DON'T MIND SPLICING AND WANT TO SAVE SOME MONEY
Denso 234-4209 Universal Oxygen Sensor (Air and Fuel Ratio Sensor)
Approx. $32. This is the universal O2 sensor. It can be used as the upstream or downstream sensors. When cutting the connector off the old sensor, cut it close to the sensor so you have a long harness. You can always cut the harness shorter if you want, but you can't cut it longer.
TOOLS AND STUFF
As always, there are tools and supplies you need to do the job that you might not have. You for sure need an O2 sensor socket and thread paste. EDIT: Some are reporting they receive a small tube of thread paste with the Denso sensors. If you do not order thread paste, and it does not come packaged with your sensor, a quick run down to your friendly neighborhood auto parts store will get you on the straight and narrow again. If you're splicing wires, you need a butt splice crimper. If the threads are dicey, you'll appreciate a thread chaser.
None of these are expensive, but if you don't have them you're going to pull your hair out.
PB Blaster Penetrating Oil, 12 oz
Approx. $5. PB Blaster will soak thru rusted fasteners making them easier to take apart. Typically you spray it on hours or even days before you want to work. It takes a while to do it's thing, and several applications are often needed. Tedious, but it beats rounding off hex heads trying to break loose frozen fasteners. Use this on the heat shield fasteners as well as the O2 sensors. It will make your job easier.
Lisle 12100 Oxygen Sensor Socket
Approx. $14. This is a suitable O2 socket, but it could be deeper. I was nervous that I had to kink the wires so close to the body of the sensor in order to get the socket on, but it worked. If I had to do it over, I'd go with...
Powerbuilt 648691 Oxygen Sensor Offset Puller
Approx. $8. This way the wires are not folded over.
Permatex 81343 Anti-Seize Lubricant 133
Approx. $3. Smear some of this on the threads. You don't need a lot - a little goes a long way. I have a bigger jar of it that comes with a brush, I'll probably have it forever, and it only cost me about $5. Oh yeah, use it on your sparkplug threads too. Keep a rag handy, this will get all over you worse than the maple syrup from your pancakes.
Lisle 20200 Thread Chaser
Approx. $7. You can chase out cruddy threaded holes for your O2 sensor and your sparkplugs.
Irwin Industrial Tools 2078309 8-Inch Multi Tool Stripper, Cutter and Crimper with ProTouch Grips
Approx. $17. If you don't have a decent stripper, cutter, and crimper, these are great.
[size=+2]Amazon sells our O2 sensors, Tools, & Supplies[/size]
Our cars come with three O2 sensors. Each of the two pre-cats has a sensor associated with it located above the precat. These two sensors are identical, and are called the "upstream" sensors. The third sensor is located farther down the exhaust near the main cat. This one is called the "downstream" sensor and has a longer harness than the other two.
Question 1 - Bosch or Denso?
Forum wisdom points us to Denso instead of Bosch. I won't get in to which is better and why, but you can click here for a search on the subject.
Question 2 - OEM or Universal?
You can get OEM (original equipment manufacturer) sensors that come with connectors and the correct cable length. They cost more than universal sensors, but they're easier to install. The only difference is OEM sensors come with a connector and two different harness lengths, depending on if it's upstream or downstream. If you're comfortable cutting and splicing wires, and you can cut the connector off the O2 sensors you're replacing, then use the universal sensors. They're functionally identical to OEM sensors, they're much cheaper, but they do require some fiddling.
Below are links to the 2 OEM sensors you need if you don't want to splice, as well as a link to the Universal sensor if you're prepared to tackle this project. Seriously, it's not hard.
IF YOU DON'T WANT TO SPLICE

Denso 234-4624 Oxygen Sensor (Air and Fuel Ratio Sensor)
Approx. $60. This is the OEM Upstream O2 sensor that goes before the precats. You need 2 of these.

Denso 234-4603 Oxygen Sensor (Air and Fuel Ratio Sensor)
Approx. $65. This is the OEM Downstream O2 sensor that goes after the precats. You only need 1 of these.
IF YOU DON'T MIND SPLICING AND WANT TO SAVE SOME MONEY

Denso 234-4209 Universal Oxygen Sensor (Air and Fuel Ratio Sensor)
Approx. $32. This is the universal O2 sensor. It can be used as the upstream or downstream sensors. When cutting the connector off the old sensor, cut it close to the sensor so you have a long harness. You can always cut the harness shorter if you want, but you can't cut it longer.
TOOLS AND STUFF
As always, there are tools and supplies you need to do the job that you might not have. You for sure need an O2 sensor socket and thread paste. EDIT: Some are reporting they receive a small tube of thread paste with the Denso sensors. If you do not order thread paste, and it does not come packaged with your sensor, a quick run down to your friendly neighborhood auto parts store will get you on the straight and narrow again. If you're splicing wires, you need a butt splice crimper. If the threads are dicey, you'll appreciate a thread chaser.
None of these are expensive, but if you don't have them you're going to pull your hair out.

PB Blaster Penetrating Oil, 12 oz
Approx. $5. PB Blaster will soak thru rusted fasteners making them easier to take apart. Typically you spray it on hours or even days before you want to work. It takes a while to do it's thing, and several applications are often needed. Tedious, but it beats rounding off hex heads trying to break loose frozen fasteners. Use this on the heat shield fasteners as well as the O2 sensors. It will make your job easier.

Lisle 12100 Oxygen Sensor Socket
Approx. $14. This is a suitable O2 socket, but it could be deeper. I was nervous that I had to kink the wires so close to the body of the sensor in order to get the socket on, but it worked. If I had to do it over, I'd go with...

Powerbuilt 648691 Oxygen Sensor Offset Puller
Approx. $8. This way the wires are not folded over.

Permatex 81343 Anti-Seize Lubricant 133
Approx. $3. Smear some of this on the threads. You don't need a lot - a little goes a long way. I have a bigger jar of it that comes with a brush, I'll probably have it forever, and it only cost me about $5. Oh yeah, use it on your sparkplug threads too. Keep a rag handy, this will get all over you worse than the maple syrup from your pancakes.

Lisle 20200 Thread Chaser
Approx. $7. You can chase out cruddy threaded holes for your O2 sensor and your sparkplugs.

Irwin Industrial Tools 2078309 8-Inch Multi Tool Stripper, Cutter and Crimper with ProTouch Grips
Approx. $17. If you don't have a decent stripper, cutter, and crimper, these are great.