SO I had to replace my O2 Sensor on my 1996 BMW Z3. See my post on replacing a BMW O2 Sensor. I already had my car jacked up and I tried a 7/8 wrench which started the rounding of the bolt head then I tried to rent the "O2 Sensor Socket Tool" from Autozone and it further rounded the head. (costs $25 to rent the tool and you get your money back).
A Pipe wrench may end up as your last resort
However I rounded it enough that I needed to take it to a shop and have them lift it and get the O2 Sensor out. They ended up using a Pipe Wrench which if I had one may have worked if I could have gotten enough torque on it. It cost $47 but it was worth the time and effort and they put the new one in for free.