Oxygen Censors

Whats the deal with these things anyway? I took it in to the dealer and they said it needs to be replaced because its defected. what does the thing do anyway? John (the infiniti service guy) said that the part was bad and it wasnt my fault, but maybe he was just being nice. Anything that I could have done to cause this so i dont do it again? I think my gas milage has gone down also, could it be because of this damn censor?

Heres a story I bought some headers and the thread for the Oxy sensor
was different, so the guy who fitted them welded it in and suprisingly it died.
I replaced mine and it made a good difference, because the Oxy sensor sends
a signal to the cars computer to ensure that the car isn't leaning out or
running to rich and thus adjusts the mixture (you may notice fouled plugs).
These sensors can die from many things WELDING THEM!, silicone poisoning
and just age sometimes but they are quite robust normally.
I got one cheap in NZ but Genuine I dont know, I strongly recommend
goin for a second hand one as Nissan could be $$$.