* Upstream O2 Sensor: Located in the exhaust manifold, before the catalytic converter. This sensor is closer to the engine.
* Downstream O2 Sensor: Located in the exhaust pipe, after the catalytic converter. This sensor is further down the exhaust system.
Exact location can vary slightly depending on engine configuration. You'll need to consult a repair manual specific to your 2002 Pontiac Grand Am GT's engine (likely a 3.4L V6 or a 2.4L 4-cylinder). A repair manual will have diagrams showing the exact location of each sensor. You can usually find these online through various automotive repair resource sites.
Looking under the vehicle with the engine warm but off will help. The sensors are usually wired and have a threaded end for installation into the exhaust system. Be careful; exhaust components get very hot.