'''casanova_pr_34''' seems like a lot going on there. I would try and stay with a good game plan. I would do just like you suggested, start with the O2 sensor since at least they are throwing a code. Replace those and see if you can patch the exhaust. Re-evaluate after that. Check for loose/cracked vacuum lines since those can wreak havoc with it as well.
As for the security light that seems to be a passlock (PITA) issue since it comes on when there is a malfunction in the system. Try a reset by
1- Turn key to RUN position, try to start and let key return to ON position
2-After approx. 10 minutes the security light should turn off
3-Turn ignition to OFF position and wait 5 seconds
4-Repeat steps 1-4 two more times for a total of 3 cycles equaling 30 minutes
5- Start engine
All of those lights etc. could be a BCM issue. Your scanner most likely does not scan it but scans the ECU only.