By Allison Kudla (wiki):
To sense O2, we used a KE-25 Figaro Sensor and an amplifying circuit that uses a Virtual Ground. The Oxygen sersor works like a chemical battery in the sense that it has two electrodes inside of the sensor and an electrolyte gel that runs between the two electrodes. The sensor doesn't require any external power, and changes in oxygen around the sensor alters the reading between the red and black cables coming out of the sensor (that are connected to either end of the electrodes inside of the sensor). You can see a more detailed explanation of the thermistor, resistor and electrode architecture happening inside of the sensor by looking at the data sheet for the KE-25 found here:http://www.figarosensor.com/products/O2.pdf
For our circuit we used an opamp called the TLC272, 4 10k resistors and 2 100uF capacitors. Here is a screengrab of the circuit diagram.