If you can reach the o2 sensor without burning yourself, another great tip for removing an o2 sensor is to run the car for a while and try to pop it loose while it's still hot. The heat makes the exhaust piping expand a little bit, and that can help pop that sensor loose if it's really stuck.
I bought a "two step" 02 sensor socket. It has two "tubes"... one for the socket itself with an open slot so that you can slide the wiring through it... and the other tube built in is for the socket wrench. I just hooked into it with a 24" breaker bar and it freed up easily enough.
This thread has great info on the location of that o2 sensor.
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