I am pretty new to working on cars but last week I installed a AEM cold air intake system on my RX-8. I followed the directions by un hooking the sensors and everything like that. Well I took the bumper off and installed the system and put everything back together. The car ran great for about a day and half. On the way home from work the check engine light came on and the car started to run very very rough. I took the AEM system off and installed the factory system and the engine light went off and the car runs fine. I did notice that there was a sensor on the factory intake up around the top thats green. I am thinking that this is some sort of oxygen sensor? Now with the AEM there is no plug for this. Is there suppose to be a plug or whats going on with this? Thanks for the advise guys.

The sensor you are referring to is probably the barometric (air) pressure sensor. It works in conjunction with the MAF to signal the ECUwith regards to controlling theair/fuel ratio.
Other than to suggest that you take this straight to AEM Customer Service, I wouldn't know what to suggest. It sounds strange to me that there is no place for an existing sensor, but they would know better and be able to assist you, I'm sure. AEM is a good reputable company, by all accounts.

I will try to call them and see what they say. Once I put everything back to stock it was fine. That sensor that you are talking about (its the green one on top) is the one that they do not have a hook up for so I dont know.