I dont use a lambda sensor at all, closed loop maps are a treat. The ecu I use tho is Motec and has sufficient look up tables to adjust for temp changes, voltage changes and all the rest of it. Wide band lambda mainly just gives better ecconomy on cruise. A wide band is a must for mapping tho obviously, and some are better than others, £250 isnt going to be an award winner thats for sure. With guage I would say £1500 for a good wide band set up. But your mapper will have that saving you buying one.
Its worth monitoring exhaust gas temps tho, and a Motec (like many other ecus) has aux 0-12v annalogue inputs that can be user calibrated, you can use a K type to 0-10v converter, and by using a good meter with K type out put set MSB and LSB to the appropriate voltages and temps, then the ecu can data log EGTs. The out put from a thermo couple is as good as liniar so no need to do multi point calibration, like EGTs are to +-10v anyway :roll
One good use of a wide band however is logging, if you log wide band, throttle possition, injector duty and a few other things you can go for a run then tweek the map and go for another run and so on, saves mapping whilst driving. On big power cars this is a must, try driving an 800bhp car and not looking at the road, doesnt last long
The more you can data log, the better, after a run seeing all is well is nice. Last year, first race, I changed down too early and over reved due to new gear ratios, but when I looked it only reved to 8700rpm and thats fine, my rev limit is 8k, but I know the valve springs etc are good for more.
Sorry for waffling on!!