A vast majority seem to calibrate on ambient air. But you can also use any air tank or known pure oxygen sources. For best results calibration gas should be metered at whatever rate your tester is designed for, and should be the same temperature and humidity as your testing gas.
Note the caution about the ambient air should be the same temperature and humidity as the gas you are testing. Ambient air does not usually meet this requirement, especially the humidity. Here is a little cheat sheet from Analox about what you want to calibrate your analyzer to if you are going to try and remove the temp-humidity effect,Ambient air. I've heard that. OK. So, just open up my analyzer and wait until it hits 20.9%...
Example: If the air temp is 90F, and the air RH is 80% (not an unusual combination is a tropical location!), then if you are using that ambient air to calibrate your analyzer, you want to set the analyzer to 20.1%, NOT the 20.9% for "perfect" ambient air. Some will argue that 0.8% is negligible. Perhaps. But guessing and hoping the ambient air is 20.9% is hardly calibrating. It is guessing and hoping.