There are 2 O2 sensors (aka lambda sensors), one before the cat, and one after the cat. I'm not sure of each of their purpose, someone else can probably explain better.
I didn't know which sensor the error was referring to, so I replaced both. You can buy the GM parts from ebay, or alternative ones from here http://www.lambdapow....._Model=VX 220
I was told of "Universal" ones, which were available on ebay for much much cheaper (~£15 each). The difference is that the universal ones don't come with the plug/socket connection (As it will be different on each car/make) - BUT THE ACTUAL SENSOR IS THE SAME. So what you do is cut the connector off the broken sensor, and connect it to the new sensor.
Information you need to buy the right universal sensor -
Zirconia
Thread of 18mm
4-wire, 2*white, 1 black, 1 grey
I got two of these: http://cgi.ebay.co.u...:MEWN:IT&ih=015
It says VOLVO, but I chose this one because it was just the cheapest (look at the seller's other auctions), selling the vauxhall one for a few more £, when actually they are identical!.. what does this say about me/volvo owners?
A* seller, they came the very next day.
I was suprised how good they were. They came with crimp connectors ready attached, colour coded heatshrink ready to be shrunk, and were even lubricated with the correct kind of grease to prevent rusting the thread (apparently you can't use regular copper grease as it interferes with the reading somehow).
Step 1 - remove the diffuser (no need to remove the main undertray)
Step 2 - Find the connector for the front sensor in the engine bay, disconnect it and cut off any cable ties securing it in place.
Step 3 - Locate the sensor, and unscrew it. Mine came out quite easily, hopefully your's will too
Step 4 - Once removed, cut the sensor off so you can re-use the connector. Be careful, try to make the length of wire the same as before so that it will reach properly.
Step 5 - strip back a few mm of wire on each of the 4 wires from the old connector. Black to black, grey to grey, and the whites can be connected any way round. Now you can crimp them into the new sensor. Best to use a crimp tool if you have one, otherwise pliers will probably be ok.
Step 6 - shrink the heat shrink!
old vs new, they are slightly different:
Step 6 - screw back in and reconnect.. try to tie the cable up again so it doesn't interfere.
Step 7 - repeat for the back sensor. Removing the near side rear wheel may make it easier, as the cable takes an unusual route.
I think it was my BACK sensor which was broke, as it rattled.. as if something had broke/come loose inside. It also looked very scorched:
Done
I've only done 30 miles with the new ones, so I can't be sure if it fixed my problem.. but the car certainly drove this far with no problems/error lights, and felt as good as ever.
just to add, might be worthwhile buying a thread chaser before starting - in case the threads are tatty
also if you get the universal ones, you can cut the wire at the lambda, then use a hefty socket to get the old ones off 
oh i got mine from the same seller, worked fine for 6 months (until the engine broke)
May not be worth the risk when you can find OEM ones for <£70 
