This topic is in the interest of replacing wiring in your vehicle that may require shielded wire. Often with the age of the first generation legacy's you may find that some of your wiring has become brittle or broken over time.
What is a shielded wire?
Some critical sensors in your vehicle may use a shielded wire to protect the signal received by the ECU from interference from other electrical components in the vehicle.
A signal wire(s) leading from the sensor to the ECU will have an additional uninsulated wire wrapping around them all the way to the ECU where it is grounded at one of the ECU pins.
What sensors use a shielded wire?
Knock sensor. Cam Position sensor. Crank Position sensor. Throttle Position sensor. Mass Air Flow sensor. Manifold Absolute Pressure sensor. Oxygen sensor.
Symptoms
Sometimes a wire that is brittle but may not be broken can cause an intermittent or full time CEL. The signal wire may have a crack in the insulation around it exposing the wire, thus potentially making contact with the shielded wire that wraps around it. Because the shield is grounded it will cause the ECU to have an improper reading.
You may have experienced this by replacing the sensor but still have a CEL.
Most commonly this is seen with the knock sensor.
Solution
Using a voltmeter you can perform a continuity test in helping to determine the exact location of the short. Start from the sensor and work your way back.
Sometimes the short may only be within a couple feet of the wire leaving from the sensor, usually in the engine bay where it is exposed to the most elements(engine heat, water, oil, dirt). You can cut out the bad section and replace it with new shielded wire. You may solder in the new wire(s) but it's recommended to use crimped connectors with heat shrink. Soldered wire joints can become weak over time and are not very flexible.
It's more rare but you may find that the short in your wire is within the car and is usually un accessible with out removing the dash and/or unraveling the wiring harness. In this case it can be easier to replace the wire(s) from the sensor all the way to the ECU. This may require a new routing of the wire(s). You can use an existing accessible hole(sometimes through a rubber grommet) in the firewall or drill a new hole.
Where can I buy shielded wire?
To purchase shielded wire I've found that shopping online is the best source. You should pick a matching gauge wire, most are 18awg.
I will provide some links and also some key words to search for incase the links become un viewable over time.
Google/eBay/Amazon key words:
Stranded shielded gray jacket PVC wire & cable. 18awg shielded wire.
18 awg cl3r/cmr/mpr shielded. 4/18awg shielded. 18awg fire/security wire.
Links:
ebay link
ebay link
omega wire
altex electronics
What it looks like

Side notes
ECU codes
ECU pin out
how to use a voltmeter
how to perform a continuity test
* If any information appears inaccurate or you think i should add something, please inform me via PM.