O2 sensor: Use a single wire, just like the stock setup. Buy a spark plug anti-fouler from the parts store, cut it in half, weld it on the downpipe as close as you can to the manifold. You can buy an O2 bung for a few bucks more that will look nicer and save you a few minutes, but where's the fun in that?
Knock sensor: I didn't use one. Knock sensors are tuned with a special filter specific to that engine to reduce the impact of unrelated engine noises. I would highly recommend avoiding one that you can't actively monitor and adjust.
Intake air temp: I used the GM air filter housing, which has the air temp sensor integrated into it.
Coolant temp sensor: I had a hole near the front of the engine, passenger side, that I tapped slightly larger to the pipe thread matching the GM sensor I used.
Ignition: If you use a setup from a car with a distributor, such as an earlier Iron Duke (pre-87???) then it uses a VR sensor inside the distributor that plugs into the ignition module inside the distributor. If you get the '75 240 distributor I mentioned above, it bolts right in and has a VR sensor that is compatible with the GM ignition module. I think you'll need to lock out the vacuum advance and then wire the Volvo timing sensor to the GM ignition module. That leaves you with all GM parts (coil, ignition module, ECM) except the actually distributor assembly. Personally, I think this sounds way easier than setting up a crank trigger. It also keeps the engine bay looking closer to stock if that matters to you.
Intake: I cut my intake and exhaust manifold casting into two pieces, reused the exhaust portion, and made my own tubular intake. This was basically just for fun, as I had scraps for all the parts to make it in my shop and wanted to build something. I have a pair of Weber manifolds I've got since then and planned to use, but never did. I expect the Weber manifold will work just fine. Obviously, the throttle linkage needs some crafty adaptation going from the old rod linkage to the GM cable style.
Fuel: I used a fuel pump from an 80's Ford truck/van. External pump with nice dampers, easy to repurpose and common as dirt. I ran new fuel lines. I added a fitting to the filler neck for the fuel return. If you don't have any sort of surge tank, like me, you WILL have air in the line with aggressive driving (or when you're really low). My wagon is a cruiser, fine by me.
The reason I went with the megasquirt is so that I could adjust it easily and I also had one around.
Bryce