I recommend investing in an oxygen sensor wrench in order to avoid the possibility of an open end slipping off, resulting in a smashed finger or worse. I used it with a long handle ratchet with a head that could be vertically angled. Being able to use a cheater bar for added torque was a big help. A couple of mine were really tough to remove.
All major auto parts stores stock O2 sensor wrenches for $10-$15, but I picked one up on fleabay, $9.95 delivered. Very well worth it IMO.
http://cgi.ebay.com/ebaymotors/Performance-Tool-W84008-Oxygen-Sensor-Wrench-Offset-_W0QQcmdZViewItemQQhashZitem5ad9e70d7bQQitemZ39020 2854779QQptZMotorsQ5fAutomotiveQ5fTools
With the right tools and sensors with OEM plugs this is a very easy job.
BTW, ********************************AZ's got Bosch with the plug for $121 each. The ones I got from MaxSpeed were Walker (I believe), another big name in O2 sensors.