Something like you see at chassis dynos, where the probe goes inside of the exhaust pipe,
This probe isn't an O2 sensor, it's a true exhaust gas analyzer that simply takes a sample of the exhaust gas then directs it into the machine.
The problem you will have with an O2 sensor at the tail pipe is at that location, the exhaust is too cold. When they are cold, they don't give proper readings. The bad thing about that is you don't know when it's doing that, so you are constantly scratching your head.
The second problem is that the exhaust sample at the tail pipe isn't 100% exhaust. Like Todd said, air always gets drawn into the tail pipe, diluting the sample.