Sure, here are a few tips.
Sometimes they are stuck in there pretty good, so the best way to get them out is when the car is still warm. Actually I found that the warmer the better. Just use a pair of gloves so you don't burn yourself. If it is really stuck then use some kind of penetrant. Just be careful you don't start a fire under there because that stuff is usually flamable, so let your car cool down before you spray that stuff.
Lastly, when putting in the new sensor be sure to put anti seize on the threads for easier removal in the future (if necessary).
I used Newton to get my 80k-used O2 sensor out. I wrapped by slotted socket around it, used a spark-plug ratchet that hung down beneath the car, slid out from underneath, placed my foot on the ratchet's handle, braced myself against the open door sill, and leveraged it right out.
When you hear the CRACK you know you're golden.
You'll need to drive the car for a few minutes to get the sensor/warning light to reset.
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