The engine in my 95 EF Fairmont has about 230,000km on the clock and it seems to be suffering from low oil pressure... I've tried 15w40 and 20w50 but neither seems to make much of a difference.

When it's stone cold the gauge usually sits at about 5 on the gauge and under normal driving around 2. If I drive the car hard around windy roads it will often drop to 1 or to 0 and the warning buzzer sounds. It is full of oil so this isn't the problem.

What would be the best thing to check first?

Also if I'm driving it hard through windy roads and the oil pressure drops away sometimes when i put my foot back down through a tight turn it will hesitate and then as it builds oil pressure again it will pickup....

What brand of oil are you using? I remember when my dad had his ex police EL it had trouble with oil pressure which turned out to be because of where he was getting it serviced... we came to the conclusion that the guy must have been using the wrong grade of oil or just cheap nasty stuff because every set of lights you stopped at the oil pressure gauge would drop and the warning sound went off... the car stopped doing this when he started servicing it himself.

When the pressure drops are you able to make the warning tone stop and the gauge go back up by stick it in neutral and giving it a bit of a rev?

I had a similar problem with my car. I ended up having a blown head gasket and broken rocker gear.

listen for a kind of chattering sound when you back off, it might bearing wear.. 230.000 shouldnt be a problem yet but it happens with indifferent maintainence in its life.
It maybe the oil-pressure sender/sensor is nutted.

I've had this issue myself. I knew it was a big end though, so a complete rebuild was done, then on my fresh motor, i again had oil pressure issues, replaced the oil pressure sender and the issue was fixed.

if its not the sender and it keep sgetting oil pressue issues this gonna be internal in the motor.