Yesterday I ordered 4 Universal O2 sensors from partstrain.com. Part # USOS-2000. They are each about 28 bucks. I saw that there was a coupon code that expired the day before and I called up to make the order, and they even honored the coupon. In total, it cost me $115 including $15 shipping.
I also placed an order with Cosmic LED who sold posi-lock connectors. They were in packages of four so I got four of them. With shipping, it was $14 bucks (lots of fours there

) Not bad for 2-3 day shipping.
Before placing the order with cosmic, I called up Bosch to ask what guage wire is used in their sensors. I figure that would be a good foundation in determing what to expect. He told me 18 so I bought the posi-lock connectors for that size. It will fit anything from 18-24 which is good since I heard from another member (thanks derb) that it's 24 guage. Either way I can't lose.
Some of my sources for this are below:
http://www.boschautoparts.com/NR/rdonlyres/3BB8A8FA-C707-4333-9098-727C01AF4B7D/0/OxygenSensorInstall.pdf
http://www.posi-lock.com/lock2.html
(I got the red one. Part number PL1824)
I will also probably get some heat shrink but I can pick that up at any hardware store.
Sensors come in 4-7 days so I will report back when I get em.