The sensor you need depends on the gauge you got - if it's a standard cheapo narrow-band A:F gauge then virtually any standard 1 or 3 wire O2 sensor will work. The sole difference between a 1-wire and a 3-wire sensor is the presence of a heating element. Since O2 sensors only work properly within a narrow range of temperature, sensors equipped with a heating element will be more accurate more often. The heater is just standard 12v - take one of the wires to ground, another to a switched (and preferably fused) ignition source. Some later cars use a 4-wire narrow band sensor that includes an "extra" dedicated ground; conventional 1- and 3-wire sensors ground through the exhaust system. If you find a 4-wire sensor, be sure of what you have as many 4-wire sensors are wideband and not the same animal. IME, stick with Bosch sensors - any of these part numbers will work with any narrow-band gauge - Bosch #13913, Bosch #13942, Bosch #13953. That first part number is a replacement for a standard fox body 5.0 Mustang; all should be available at your local auto parts store.
If you have a wideband gauge you need a matching sensor. Many wideband sensors are compatible, but not all. Be sure you get a compatible pair. I stick with Innovate gauges and sensors and they have never done me wrong.
A narrow band O2 sensor is really only good for giving you a rough idea of your mixture - it'll tell you lean or rich, but really not much else. For a daily-driven car where you just want to ensure it's in good running shape they are totally fine. Much of the last thirty years of cars relied on them, clearly they're not evil. If you're trying to extract maximum power, you're going to want a wideband - they will accurately and quickly tell you your mixture so you can fine tune your spark and fuel. In combination with a good EGT/pyrometer, you're set.
Finally, remember that placement of the sensor is important. With a narrowband sensor it needs to stay hot, so you want it as close to the engine as possible. Be sure it's not at the "bottom" of a pipe where condensation can collect on it - that can destroy the sensor. Mine is installed about 2" off the collector (170ci), above the elbow, facing generally forward - the only place I had clearance. Wideband sensors do not like to be hot - they need to be installed away from engine. In fact, assuming you're not running a catalytic converter, you can install a wideband at the tailpipe - just be sure it's the actual sensor in the exhaust stream and not the entire part! They are more sensitive to moisture, they do not want to be near the bottom of the pipe at all. Also, widebands run an internal heating element, and it's critical that heating element is hooked up any time the sensor is in the exhaust stream. If not, the sensor can become contaminated and die. If you're doing wideband, I recommend leaving it in the exhaust only for tuning, then pulling it out and sealing the exhaust back up. That's good practice. And, finally, all O2 sensors are sensitive to leaded fuel - so if you're running leaded fuel or lead additives you will probably enjoy a short sensor lifespan.
HTH.