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