An oxygen sensors job is to tell the computer to control the correct fuel/air ratio mixture as well as engine combustion intervals and engine timing.
When the oxygen sensor is bad and it can't tell the computer how to control that part of the engine your car may be hard to start, run rough, jerk at steady throttle, use more fuel and your check engine light may even come on due to a faulty oxygen sensor.
Continuing to drive a vehicle with a faulty oxygen sensor could eventually damage your vehicles engine so get it checked and replaced as soon as possible and your vehicle will run much better and your gas mileage will also improve once you change out the oxygen sensor.