I've seen differences up to just over 1 full point.
This was on a dyno-dynamics dyno using the 02 sensor screwed into the 02 bungs vs the tail-pipe sniffer. On this type of dyno, the same sensor is used for both. The difference is that it takes the reading closer to the engine and there is less of a chance of any extra air being introduced into/taken out of the mix (exhaust leak?) for a more "accurate" reading.
I'm sure some seasoned dyno ops will chime in soon.