The way I got mine off was I squirted it with PB Blaster and let it soak overnight then hit it again in the morning and drove around for a while. It came out with one or two tugs from a 10" Crecent wrench.
There was a thread a while back about using transmission fluid/acetone as a penetrating oil; I'm still currious how that works.
Also, I was in Autozone the other day and saw the O2 sensor remover socket. When I saw pictures online I was concerned the walls would be too week and it would slip but the one I saw was heavy enough to do the job.