I have an O2 sensor socket with the slit down it for the wire. Most of the time, it does NOT work for removal (the socket will spread instead of turn). I've had to clip the wire off some O2 sensors, then use a deep well socket to handle the job. So far, with the right tool combo, success every time.

The worst one I've ever done was on my wife's Impala, changing the downstream sensor. The U-Bend and cavity it's in does NOT give much room to work. Removal took about an hour (broke free, but I only had space for one MAYBE 2 clicks on the rachet to crank and even after breaking it free, it took a LOT of force on each click). Installing the new one, 15 minutes.