The 02 sensor is a major part of how your fuel management system reads how to meter the fuel delivery to the motor. If you remove it, you'll be effectivly blinding the computer and will probably make a (very) noticable, negative change in how your bike runs.
My winter mod list includes a pipe and
http://www.bazzazperformance.com/ fuel managment system that includes an O2 sensor for self mapping on the go.
Answer.. don't remove it.