Oxygen sensor
From Celica GT-Four / Alltrac - ST165 ST185 and ST205
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Your Oxygen sensor - sometimes called a lambda sensor or an O2 sensor - is a device the engine uses to decide whether it needs to trim the amount of fuel going into the engine in order to run correctly. It is an emissions device but removing it cannot be done without upsetting the standard ECU and it wont benefit you anyway. It is only operational during cruise/light acceleration and is ignored under heavy load/acceleration.
On all GT-Fours this is located right at the front of the engine bay, on the left of the turbo as shown in the image. Some cars use a 4 wire, some use a 1 wire (1 wire is believed to be JDM only). These can be purchased from places like SAP motor parts a LOT cheaper than they are from Toyota.