How expensive is it to replace it? Sometimes it's easiest to check a part by trying another one, but that can get expensive.
Without a data sheet for the part you're trying to trouble shoot, it might be a little difficult. There are a couple different automotive types (5 wire versus 3 wire for example) and they all utilize heating elements. You would need to test one with some knowledge of what you're looking for and it wouldn't be a single measurement that determines whether the device is working properly or not. You'd need to check the heating element for one and then the sensor over a range of conditions. I would imagine automotive shops typically utilize engine controller fault codes to identify failed O2 sensors. In fact, they probably do that for most engine faults.