I've had a lot of help from this forum and this is an attempt to pay it back.
After having the check engine light show up intermittently one day without any noticeable issue with the motor I decided to investigate.
Using a VAG-COM cable I bought off ebay ($5 from china somewhere) and using FreeSSM I saw the code P0031 - Oxygen (A/F) Sensor Heater Control Circuit Low (Bank 1 Sensor 1).
The next hurdle was part numbers. A lot of googling gave alot of part numbers. 22641AA220 is the part number and so is 22641AA390 and also 22641AA391 Denso. They are all effectively the same part.
A quick google on a local trade site here in NZ (trademe) gave me a price of $235 for a genuine subaru one. I saw loads on ebay that would have taken ages to ship and were probably not genuine for around 120 south pacific peso. I bought the local one. BTW Subaru NZ wanted $400.
Next hurdle where is it. I had no idea other than anywhere from exhaust headers, and around catalytic converters. And of course I found it in the last place I looked. In the turbo down pipe. The JDM LGT's have a twinscroll turbo and as such to separate paths from the headers to the turbine housing so the front o2 sensor is actually in the turbo downpipe. Most others I've googled have it in the exhaust header collector.
So to get to it, you need a 22mm spanner (wrench) or a special sensor socket that costs beaucoup money. The spanner it was. Remove the plactic cowling around the intercooler and begin the spanner yoga. It was pretty easy to get off after a bit of CRC was used. uu-dee-fordy for the yanks.
The clip has two little plastic levers and I had to use a screw driver to get it off. Gently as it close to the turbo an felt like it would break easy.
It came off okay and a bit more spanner yoga to get the new one on. It had a crush washer and some anti seize goo on the threads as shipped so don't tighten up too tight.
Once all back together I plugged in the VAG-COM cable again with FreeSSM and cleared the codes. A spin round the block and things look good.
Here are some pics. Hope people find this useful.
VAG COM cable
Cowling off and location