Depending on how little or how much room you have under the hood you
might want to get the O2 sensor socket. I have never bought one and I
will clip the wire off of the old sensor, use a regular socket to take
it out and then a wrench to put the new one in. I also always use a
penetrating lubricant before I try to take the old sensor out. I use a
product called PB Blaster, it works very well and you can find it at
most auto parts stores. Spray on a little several hours before you are
going to start and give it another spray two hours before you start.
If you do this the sensor should come out very easy if you don't and
it has welded itself to the manifold you might not get it out or you
might take some threads from the manifold with the sensor.

The "special tool" is a five-dollar socket with a slot down the side for
the wire. It's needed when INSTALLING the sensor. When you remove the old
one you typically cut the wire off first and use a regular 6-point socket.

Sensor sockets are widely available.

AutoZone loaned me one.  I left a deposit, but it was refunded when the tool
was returned.

Get the tool, and some penetrating oil, it will make life much easier.

G-Man