02 sensor problem...always reads 0.3 mV :(

hi

original o2 sensor read .3mv and i thought it was bad (according to textbook diagnosis), so i got another brand new one. same thing. i've heard it might be caused by an exhaust leak before the o2 sensor, but there aren't many places to leak on an na, plus i don't hear any leaks. i heard a trick whereby you throw water on the manifold (when engine is completely cold) and check for bubbles. any other ideas? bad wiring? ecu? my gas mileage is horrible. changed plugs, air filter, cap/rotor/wires, 91 gas, gas cap, o2 sensor. i don't drive hard (well, occasional WOT pulls), but i usually keep it under 3 grand. all tires have good air pressure, the car passes emissions (it has a new cat), but i still have bad gas mileage. i plan on changing fuel filter soon, but other than that i am stumped. any other thoughts? sorry for the long post.

thanks