One problem related to o2 sensor has been reported for the 1999 Mazda Millenia. The most recently reported issues are listed below.
I bought my car in Nov 2002, at 60,000 miles. The check engine light continually stays on. The car runs rough and has poor accerlation. We have it in the shop 4 times, and thats only for this year. We've replaced 3 O2 sensors, the air induction hose. The servicer has also cleaned the egr valve port. The check engine light will stay off for 2 or 3 weeks and then it's on again. I'm very unsatisfied with Mazda.