An oxygen sensor socket is a specialty tool used to install and remove exhaust sensors. Oxygen sensors are screwed into hot exhaust pipes and have an electrical wire harness permanently attached to the top. A standard deep socket cannot be used because it would squash and break the wires. The O2 socket features a slot cut down the side of the socket wall. This allows you to slide the socket over the sensor while the wire harness slips safely out through the slot.
Because oxygen sensors live in the exhaust stream, they experience extreme heat and rust solid. The socket is made of thick, hardened steel to resist flexing under heavy load. If you use a cheap socket, the slot will spread open under torque, rounding the brass-coated hex head of the sensor. Spray the sensor threads with penetrating oil and run the engine for a few minutes to warm the exhaust pipe before attempting removal.