Unfortunately car makers and their associated dealership service departments have played a role in keeping people uninformed about the “dreaded” check engine light. Owner’s manuals say almost nothing except tighten your gas cap and then take it to the dealer if that doesn’t work.
Take 5 minutes and peruse this: http://www.obd-codes.com/trouble_codes/
It is a list of “diagnostic trouble codes” (DTCs) and one or more of these is stored in the computer when the check engine light is set. Not all of these are as common as others, but as you can see there is no simple way to deal with it if one doesn’t have the actual code.
Each code, btw, has a set of associated diagnostic steps that one should follow to pinpoint the issue. A leaky gas cap would likely produce something in the P044x range. The “its an O2 sensor” assumption can come from a large number of codes b/c the O2 sensor’s job is to measure stuff in your exhaust and report to the computer. Sometimes people think an O2 sensor is bad b/c it is doing its job (shooting the messenger). Of course, O2 sensors do go bad but its really frustrating to people who get them replaced to find the annoying little light still there.
Just FYI: if that light ever starts flashing at you don’t continue to drive until the issue is sorted out.