Bananawasp

There are two common types of EGT sensors.  RTD's - these are a resistance based sensor and in laymans terms work similar to a coolant temp sensor.  RTD's can be connected directly to an Analog temp input.  RTD Pros: Simple connection, no amplifier needed, no special wiring needed.  Cons:  Max temp around 900C, generally slower response than TC's.
The 2nd type is a thermocouple.  Thermocouples only generate a tiny voltage (<50mV at max temp), so for connection to an ecu they need an amplifier to increase that voltage output.  TC Pros: Higher temps (~1200C), can be faster response.  Cons: needs an amp, more wiring (amp needs power etc), special cable and connectors required if TC wire needs to be extended.
 
A common RTD is AEM 30-2052.
For EGT amps there are many options, Texense THK 1250 is a nice single channel one or there are many less fancy low cost options. 
 
 
   

Outside the Thunder ECU, none of them is able to deal directly with thermocouple. 
You need to have a separate controller that outputs either CAN data or 0-5V signal

The factory "post supercharger" MAP sensor is normally used, it is rated for 2.5Bar absolute (approx 1.5Bar boost), assuming you are not planning to run boost higher than that then the factory one is fine.  This is already set up in our base map so you dont need to do anything, it will work out of the box.  The pre-supercharger sensor is also connected to the ECU and can be logged or used for diagnostics but it is generally not used as part of the engine control.
For the CAN lambda, the most common method to connect is by using our CANPCB adapter cable and the mating CANF plug, you still need to run your own wires from the CAN Lambda to the CANF plug though.  A pic to show this set up is below.
Some dealers may also offer a pre-fabricated loom to make life easier, here is an example from NZEFI:  http://www.nzefi.com/wp-content/uploads/NZEFI-Link-G4-G4-ECU-to-CAN-Device-Cables.jpg