Spent about 30 min installing front O2 sensor on my 02 WRX sedan.

Tools you need:

socket wrench
10mm and 12 mm sockets
22mm O2 sensor removal tool ($9.99 from autozone)
Two zip ties unless you know ways to remove crappy zip ties from the bracket.
New Denso O2 sensor (~$150-160)

Please note that I am going to skip many basic stuff such as removing wheel, bolts, etc...

1. FR wheel removed:

2. Locate this mudguard and proceed to remove it to expose O2 sensor.

3. Remove O2 sensor using 22mm O2 sensor removal tool

4. Locate harness located near boost control solenoid and disconnect it

5. Take this bold off, which will free up the bracket attached to the O2 sensor wire. There are two plastic clips that hold O2 sensor wire. If you have changed spark plugs, you may have wondered what the purpose of this bracket is...

6. Proceed to remove O2 sensor and bracket/harness from the bottom. O2 sensor shown here (new vs. old).

Now, put everything back in reverse order. Now, think about what to do with $200+ you saved by doing it yourself.