Where is the best and cheapest place to get one these?

I got mine from the dealers £128 inc. VAT

or you can buy some cheap one from halfords and wire them your self. but they dont last long ;)

Wow that's expensive! I think I paid about £38 when mine was mapped in December. Try your nearest local rolling road, they'll know the best place to go to get hold of one. Or try these, should be able to help you out.
Mill Auto Supplies
Unit 3, Valley Rd, Plymton, Plymouth, Devon PL7 1RF
Tel: 01752 333530

Mill Auto Supplies - Contact Us (http://www.millautosupplies.co.uk/contact.htm)

I know an ex subaru mechanic who had fitted a cheap lambda sensors bought of ebay to a wrx, it was fine when cold but got far too hot when warm and only lasted a few weeks.

bosch LS02 has been in my car for a few months now and seams to be holding up fine :) £33 IIRC