The sensor is the Lambda sensor, these often corrode into the pipe due to the high temperatures and constant heating and cooling. Use an oxy-acetylene torch to heat the female socket in which it sits to a bright red, get a spanner on the sensor and quickly unscrew it, do not apply direct heat to the sensor itself.
If this option is not available, pack ice around the sensor, this will cause it to contract, fit a spanner onto the sensor and unscrew.
If you really want to get nasty, bring it to me and i will heat it up and apply the 6' long stilsons on it, this is kill or cure though.