I have a 3 wire HO2. One black wire, two white wires. I'm fairly certain that the white wires are for power and ground. So, I tried hooking up the white wires to my battery and nothing got hot. Shouldn't I feel this thing get hot? (Assumming I'm correct about the wiring)

I would imagine that it should at least get warm. May take a minute or two. I usually check them with an ohm meter. Typically a few ohms at room temperature. Try putting a light bulb (like a tail light bulb) in series with it and hooking it to the battery. Bulb should at least glow.

RBob.

It should definitely get hot. And you are correct, the two white wires go to +12V and Ground. Black is the signal to ECU. On 4 wire HEGOs the Gray is signal ground. Some different manufacturers have different color codes, so, usually th two like color wires are heater wires. There should be some resistance between them. There should be no connection between either wire and the sensor wires. Some EGOs are case grounded too, where the signal ground is connected to the sensor threads.
Not exactly on topic, but if anyone does a search it may be useful if they find this information somewhere.