2001 Saturn L200 O2 Sensor

Have you looked on the exhaust manifold?

Yeah, Everything is a little confusing under the hood because it seems the headers come off the block on the front of the engine, just under where the throttle body sits. However, in looking again, I believe I've found the collector pipe that leads to the Cat and I may have found what looks like the 02 sensor on that. What makes things even more confusing is that different websites have a 4-wire 02 sensor (for the pre-cat one), and others have a 2-wire one for the same. Assuming I've found what is this 02 sensor, what's in there is a 2-wire set up. Why would there be 2 different kinds? And moreover, why do new ones that you buy end in 2 (or 4) loose wires, and are not attached to the connector clip that feeds the info to the throttle bodys' computer?

The 2 wire or 3 wire sensors are non-heated type sensor; either a positive and ground for 2 or a positive, ground and control wire for 3. A 4 wire sensor has a heating element inside so there are two 12V leads to the sensor. Make sure the replacement you by is designed for the vehicle with the correct plug and number of wires otherwise the sensor may not function properly. If the auto parts store does not carry the correct sensor you may need to have a dealership retrieve one for you.

Thanks so much for all your help. The guy at autozone confirmed that what I had found indeed WAS the 02 sensor, got me a new one, and it only took about 5 min. To replace. I'm expecting to see an increase in overall performance as the sensor that I removed had a very dirty, almost rusted or burnt look to it. And even though it wasn't triggering a faulty sensor code, it had apparently been torqued in too hard originally because the actual sensor part was distorted like it was hitting something inside the exhaust manifold. I'm pretty sure it was the original one because the car had only 24,000 miles on it when I bought it and it now being over 82,000, I figured it was probably time. Can't imagine how much money I saved by doing it myself.
Thanks again!