I changed the O2 on a '95 525iT and had to drop the exhaust because I couldn't get it out. Loads of PB and letting it soak for hours still didn't let it budge with the exhaust in place. Dropped the exhaust (and damn is it heavy) so I could get better leverage on it and still had a bitch of a time getting it out.
I did use a O2 sensor socket. Don't recall why I didn't want to cut the wire and use a regular deep socket.
But yes, you can get at the sensor w/out dropping the exhaust. But if it's in there rather tight you might not be able to get it out w/out dropping the exhaust.
Cosmos Black/Black 1995 540iA M-Sport
BMW Individual Exclusive Edition, 1 of 65 total, 9/25/95 Build