What would happen to your car if the heated oxygen sensor goes on a Volvo 850?

The oxygen sensor is used to infer the rich/lean mixture of the engine. Without a signal from the sensor the computer will default to a general mixture to allow the engine to run. Overall I'd expect strong smelling exhaust, loss of power, poor fuel economy, and the service light to be on.

You can troubleshoot the oxygen sensors easily with a digital volt meter. These sensors have either 1 or 3 leads. For single lead sensors connect a digital volt meter to the single lead, leaving it in the circuit, don't unplug it, or cobble a connection so it stays in the circuit with the car. Measure between the sensor and ground on a 1 volt scale. You should see this value vary between about .2 and .8 volts on about a 1 second interval. This only is applicable if the engine is fully warm!

The 3 wire sensors have a heater built in to get them to operating temp. sooner, thus you need to find the sensor lead from the heater lead. Obviously the heater lead is either ground or 12 volts, so the remaining lead is the sensor.

Here is a more complete explanation:

http://auto.howstuffworks.com/framed.htm?parent=question257.htm&url=http://www.wps.com/LPG/o2sensor.html