Oxygen sensors do deteriorate over time and replacement can improve fuel economy, for one benefit. Your car has OBD-II and two sensors, both fore and aft of the catalytic converter, so your cost will be higher. To remove, soak the old one in PBlaster and use a oxygen sensor socket, a special socket that has a cutout for the wire (available at any auto store). Clean out the threads and install the new one using the same socket. The new unit should come with antiseize on the threads; if not, apply nickel-based high-temp antiseize before installing. When plugging the wiring back in, do NOT use silicone dielectric grease since the operating voltage is so low the grease will block the signal.

To save money, you can buy a generic three-wire Bosch unit and wire it into your old pigtail connector from the discarded sensor. See the FAQ for ideas on how to do this.