Can someone tell me where to find the O2 sensor(s) on my 1995 4.0L Explorer XLT? Also is it (are they) very hard to change?

Stephen:redexp:

you'll find them along your exhaust pipe. The exact location varies, I don't know off-hand exactly what it is on the 95 or exactly how many you have. On my 94, there are two o2 sensors, just before the catalytic converter, and they were a bitch to replace. The newer explorers though have four o2 sensors, two before each cat and two after each cat.

I just changed mine tonight,(97 Sport) there is one on each downpipe coming off exhaust manifold (upstream) and one after the cats (downstream). The two closest to the engine where a B*?*& to remove. Lots of rust penetrant and a long 7/8" wrench.
I got mine from www.rockauto.com, they have a really detailed catalog file and I paid the extra $10 ea. for OEM wiring that plugs right into the harness instead of spicing the 4 wires with a universal sensor.

The 95 only has 2 (one on each pipe just after the exhaust manifolds). They are pretty high up and look to be a little hard to get to and change.

Might want to try www.fordpartsnetwork.com if you think it's time to replace them. They have a good price on OEM O2 sensor replacements.

BTW: Your parents made a good name choice. :)