Years ago I was told that O2 sensors were a maintenance item and that one wire sensors should be replaced every 30,000 miles, two or three wire sensors every 50-75,000 miles and four wire ones every 100,000 miles. I have pretty much always done that and I can always tell a difference in gas mileage and how the vehicle runs. This is for the pre-cat ones. I don't usually replace the after cat ones unless they fail.
You can also hook up a scanner and watch the sensor readings and see how fast they switch back and forth. If the readings are switching pretty rapidly, then the sensor is usually still good. If they are slow, it's probably time for a replacement. This is for the pre-cat sensors. The after cat sensors switch pretty slow anyway and are not as important as the front ones. O2 sensors can get lazy as they age.