Ok, so a couple points:
1. Denso in the OEM supplier for these O2 sensors. It is suggested that you ONLY buy Denso as Denso's proprietary material in the sensing element seems to be better than other brands.
2. Stick, I totally understand your point about loyalty to a local store. I was like that with a local motorcycle shop (until he closed down, I think he got out of the business). I also respect if someone can offer an item for something like half off what conventional stores charge, because especially for things like O2 sensors, which are mildly expensive, it allows low income people to save alot of much needed money on auto repair, especially if they do the work themselves.
If you can afford to be loyal to a local shop, then awesome, I won't criticize you for it, but I wouldn't suggest that to newbie's as they will likely end up getting ripped off by a shop that isn't deserving of their loyalty. I will be loyal to a good shop (like that motorcycle shop), but I havn't run into many shops deserving of such loyalty.
3. OP, read this thread for alot of background on O2 sensor part numbers
http://www.toyota-4runner.org/3rd-gen-t4rs/81424-denso-o2-sensor.html#post699825
BTW, this is linked in the Tutorial and documentation sticky at the top of the 3rd gen sticky.
There is a link in that thread to the URD guide which seems to be pretty spot on. The denso website didn't seem to be the easiest to me, but the URD site is pretty easy to read.
4. T4R_finally: The easiest way to tell is to get under your rig and count the CAT's. Click the link I posted a you and there are some pics from TheDurk showing both CAT's.. If your's looks like that, then it's Cali; if you only have 1 CAT, then it's federal.