[yelcab1]

That happens a lot to me lately.
First, heat does help a great deal from a MAPP gas torch. As will cutting it off and use an impact wrench.
Second, even if the threads are all messed up, a set of 18mm 1.5m tap and die will clean that up (Expensive set)
Third, if you really mess up the bung, and need to save the pipe, an exhaust shop can cut out the bung and weld in a brand new one for $30.
Fourth, replacing an o2 sensor is not an expensive option if you go the universal route.

All four have happened to me in the last 6 months.