A rough idle that smooths out at higher speeds is usually a vacuum leak.

Visually inspect all your vacuum hoses.

If you find no problems visually, use something flamable like engine starting ether or an unlit propane torch. (Be careful!) The engine will smooth out if it sucks something flamable in through the leak. Check for leaks around the intake manifold and at the fuel injectors. Is the brake assist working properly? You can get a vacuum leak if that fails.

The oxygen sensor can cause a poor idle, but generally not so bad that the engine shakes. Usually the only symptom of a failed oxygen sensor is loss of gas mileage.