You're definately describing what sounds to be a bad O2 sensor. When the Jeep is warming up to optimal running temperature, it is in closed-loop operation (not using the O2 sensor). When the engine gets to operating temp, it then relies on the O2 sensor for readings of cumbusted exhasut; which in turn adjusts the engine's air/fuel mixutre.

If the O2 sensor is new, I would have a scanner hooked up to it that can test its operation. There is a power-ground lead to the O2 sensor from the ECM and it might not be getting a signal.

I would also check the IAC (idle air control) and the TPS (throttle position sensor) sensors. They can cause a rough idle as well. Pop off your intake tube and look into your throttle body. Sometimes a good cleaning with some carb spray does wonders.

Chris