Hi Lefty, and welcome to the forum!
I've been meaning to write an article on this, so I'll go ahead and give you the long answer, and copy it into the article:
There are 3 basic types of oxygen sensor. Actually there are a couple more than these 3, but they are very rarely used. The 3 types are:
Narrow Band oxygen sensor. Also called heated oxygen sensor or heated exhaust gas oxygen sensor (HEGO). These are the type that have been in use for many years and used to be the only kind of oxygen sensor. These will put out a voltage that represents the amount of oxygen in the exhaust. A higher voltage means a richer condition. They are called "Narrow Band" because they either read lean or rich. They really don't tell the computer how much oxygen is in the exhaust, but flick from very low to very high several times a second. The computer is able to interpret these changes to adjust air/fuel mixture. These sensors can have 1, 2, 3 or 4 wires. Most commonly they have 4 wires which are signal, signal ground, heater +, heater ground.
A newer type of oxygen sensor is the wide band oxygen sensor. These are easily distinguished from other types because they have 5 wires. These babies are taking over from the narrow band sensors, and well they should. They are far better at the job. Instead of reading either low or high, like narrow band sensors, they will present a voltage that represents what the air/fuel ratio actually is. They produce a relatively straight line graph of voltage vs air/fuel ratio where voltage X = A/F ratio Y. Therefore gauges hooked up to wideband sensors can tell you accurately what the air/fuel ratio is at any given instant in time. Also the computer is much easier to program to give smooth adjustments to maintain a fixed air/fuel ratio in the engine. mpgmike reports that an EFIE will work with wideband sensors, which is great news for us.
AFR Sensors: These are sometimes mistaken for oxygen sensors since they perform the same function, and internally have similar components. However, they are a variation on the wideband sensor. They have 2 important differences. First of all, they have 4 wires instead of 5. And secondly, they communicate to the ECU by modulating the current from an ECU reference wire to the return wire. In other words, instead of putting a voltage on the wire, that the computer can read and interpret, the computer puts a current on the wires to and from the sensor, and the sensor modifies the current flow to signal the computer on its A/F ratio. EFIEs will not work on these types of sensor, and at this time, there is no real replacement. There are some alternative tricks that can be used on these however, found in Tuning For Mileage
Well, that's probably a longer answer than you were looking for. But I really needed to brain dump that data anyway, and I'll get it prettied up a bit and into an article in the documents section. Other people have had the same question, and the information needs to be available.