If your talking about the rear O2, which is the one farther from the engine, which it seems like since the front are really easy, you have options. A: take two really really small flat head screw drivers and wedge them in between the two retainers on the coupling. Then pull. B: Huge wrench and leverage. When you go to put them back on, twist the wire again and that will make reinstall way easier.
Anti seize comment still applies.
2010 E93 M3 / AA Catless X-Pipe / AA Catback / AA Pulley / Vorsteiner Vented Hood and Bootlid E93 Trunk / ADV1 7.1 Wheels GB / LS3 LED Lights / AFE Stage 2 / Velos Designwerks Tune