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When an O2 sensor goes bad, it goes into a default setting. The default setting is for the engine to run fuel rich so that no damage occurs to the engine from running too lean. The excess fuel not burned goes into the exhaust and can ruin the catalytic converter. An O2 sensor costs a hell of a lot less than a catalytic converter.
You have at least 3 O2 sensors on the vehicle, so you need to be sure which one it is. You can find O2 sensors pretty cheap through
http://www.sparkplugs.com.