Is this something I can do myself, or should I have it done by a shop?

its easy. Spray it with some PB BLaster or Liquid Wrench and let it sit for about an hour then go at it with a o2socket and large wrench. Then just unclip the old sensor and install the new one with some anti-seize (or swap the connector to the new sensor if you got that version).

One of the easiest thing you can do. Which one is it? Most difficult part is removing the air intake. Or atleast it was for me.

Hey,
just got a VAG scan recently, with codes 17606 and 17607; apparently my 2 rear (B1S2 & B2S2) O2 sensors are gone too. I had no idea what I was dealing with, so I thought I would have to get the dealer to do this. They quoted me ~$480. I'm definetly up to the DIY because I was told the parts are very cheap- but I am not the most experienced DIY'er. Can anyone provide a little more info/DIY about how to do this? And about a good place to order the parts. I have a 98 A4 2.8Q 30 V in stick. Again, any help would be sincerely appreciated. HAPPY NEW YEARS !!