I also went through the odyssey of the CE light indicating an 02 sensor needed replacement. Unfortunately, once replaced (by my shop) the light continued to come on. Despite resetting, the light would come back on every 200-300 miles indicating various causes. My mechanic told me to be patient until it displayed a consistent error.

Ultimately (long after both O2 sensors had been replaced) the light just quit coming on. Whether the car healed itself or the light burnt out I do not know.

Good luck in chasing down the problem.

__________________
David

2010 E350 Coupe / 1K miles
2007 ML350 / 18k miles (Gone, gone, gone!)
1995 E320 Wagon / 170k miles
2008 Audi A6 4.2 / 12k miles
2006 Mitsubishi Endeavor / 25k miles