They don't so much wear out, as break down, in both cases, as they don't actually move. The materials they're made from get old and fall apart. The coil may build up resistance and not work as well etc...
As Smo has said though, if it ain't broke, don't fix it.
The only reason you might consider replacing parts is if they are difficult to get to and the job that you're currently doing to the car, will temporarily make access better.
In this case though, the coil is very easy to get to and replace and the lambda sensor isn't really difficult to get to !