Some people have claimed that they can monitor/measure these, but nothing specific as yet.

So it's a question for all: how can I measure, even if approximately, air fuel ratio and the amount of CO, CO2, HC, NOx, and O2 (or at least some of them) in the exhaust gases, without spending a small fortune on test equipment? I guess for O2 I can use the built in sensor, but I'm not aware any automotive sensors for the rest. And I want something a little more accurate then eyeballing the spark plugs.

I want to run my car a little leaner, and because of the electronics ('95) that's not as easy as adjusting the carb,

Here are some reading on the why:
Improving IC Engine Efficiency
Lean burn - Wikipedia, the free encyclopedia