That would be the O2 sensor after the catalytic converter on the passenger side.
I can't direct you where you'll find it the cheapest except suggest finding out what part number you need and searching the autoparts stores and possibly on eBay. You'll most likely pay more at the dealer for a replacement part but you should replace it with the same OEM part (ACDelco or Bosch) if you buy it anywhere else. I'd stay away from other generic brands.
Here's some more info to consider at this link. Your problem could be more than just replacing the sensor.