If it is completely stripped, or even partially it is going to be a bugger without fitting a removal tool like they use on lug nuts that stripped or bloat and cannot fit a socket anymore. If an 02 sensor is seized in place and you want to salvage it, you can use a MAPP (yellow tank) torch available at Home Depot/Lowes/hardware store. The propane torches don't have enough heat content, nor will they ever heat it fast enough to save the sensor.
The idea is the heat the manifold just outside of the threads for the sensor and do it in a fast circular fashion , and then with a good 02 socket and ratchet, shock the handle (like a hit from a hammer or your hands), an adapter to half inch and a breaker bar attached can work wonders when you want a small movement to create a big effort on a stuck fastener but you can also do more damage than good if you overdo this theory; small fasteners and red hot parts can equal breakage. If you do not care about the sensor or think it can be saved, this should probably work either way. The problem you may have now is that likely you will have to cut the sensor short to fit a better fitting socket and or removal tool and thus the 02 will not be reusable. If the sensor threads are too seized, as they are removed they could "gall" the mating threads on the manifold. Then you have to buy a thread chaser and hope there is enough left to reinstall a new sensor to.
You can see why pulling the 02 sensor is a last resort here.
I highly suspect your 02 is likely fine, and you have other issues at hand first, especially considering how bad your emissions got with only touching the EGR setup and the likelyhood that vacuum lines are switched.
To test your EGR, we've told you before you can use a wide flat tip screwdriver to move the diaphragm or use a vacuum pump tool (cheap) while the engine is running, the more it moves, the more it should be opening and the more the engine should drop RPM and almost/will stall. If nothing happens, then you likely have a plugged EGR passageway or a blown diaphragm and it is not opening with direct vacuum applied. I highly suggest the vacuum pump like these:
Click me for pic of vacuum pump from MityVac