Any WB should come with the O2. They're pretty simple to setup, just don't get an Innovative LC-1. It's a good WB, just a super pain in the ass to setup. Other Innovative or AEM WBs are pretty popular.

For installation it's as simple as running a couple of wires for power and ground then getting an O2 bung welded to your downpipe to screw in the O2 sensor.