The O2 is not really worth it - I had one and I got rid of it.
The EGT is invaluable - I recommend a electronic gauge. I had the autometer one and the gauge died - the probe was fine, but the gauge carked it.
I now have a Defi-Link gauge and it is awesome. I reccomend the 60mm too - much easier to read.
You do have to drill a hole in your exhaust - tap it and install the probe.