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If it's been on there a long time... use a propane torch to heat up the bung in the exhaust where the sensor mounts(but not the sensor), metal expands when heated and although a propane torch won't get the metal real hot compared to an oxy torch it will make a difference. Use a boxend wrench around the sensor to break it loose not a thumb wrench or the open end of a combination wrench or one of those special O2 sensor sockets, all of these open or partially open tools will often flex enough to slip and strip the sensor when it's really stuck in there.
1. They make sockets specifically designed to go over the sensor while allowing the pigtail to sneak through. Might not be a bad idea.
2. A healthy dose of penetrating oil (take your pick) on the threads will help. When I have stubborn jobs like this, I sometimes spray multiple times for the few days leading up to it. Really seems to help.
3. IIRC, Bosch sensors are supposed to be good replacements.
Use a boxend wrench around the sensor to break it loose not a thumb wrench or the open end of a combination wrench or one of those special O2 sensor sockets, all of these open or partially open tools will often flex enough to slip and strip the sensor when it's really stuck in there.