I has wondering what the most common thing are that cause the CEL to turn on. O2 sensors, EGR problems......

Best thing to do is just check the codes. The CEL can be due to almost anything, and trying to troubleshoot the problem without checking codes is often expensive and frustrating.

I don't have a CEL, I was just wondering what components tend to go bad in Explorers first.

Also, with the OBD-II system, is there any way to jumper out two of the pins in the diagnoistic conector like Chevys and get the CEL to blink out the code? Or do you HAVE to hook it up to a computer to get the code? Thanks

With OBD II you need a code reader.

Besides O2s and EGR, CELs are often caused by the TPS, misfires, or fuel conditions.

. . . . . and loose gas caps, intake leaks, bad IAT sensors, inefficient catalytic converters, . . . .

As Alec said, if you get a CEL, getting the code read is the most efficient way of determining what set it off. There are literally hundreds of things that can cause a CEL. There isn't necessarily any single "one" that is more common than the rest.