Due to the need for high octane leaded race fuel when drag racing, I switched my stock oxygen sensor to a heated 3 wire sensor. I use the stock sensor from a 1986 Ford Escort and it cost me about $40. Heated sensors supposedly prevent lead from sticking to it and damaging the sensor. A heated sensor will last longer than a single wire sensor, but it too will eventually be damaged over time by the lead.
Just a reminder:
When using leaded fuel you should also remove your catalytic converter. Over time the lead will accumulate and clog it up.
Approximate Performance Gain:
Heated O2 sensor - none
Heated O2 Sensor ON/OFF Switch