There are several dust spots on your sensor, but the long wiggly looking thing is probably a fabric fiber or small hair on the sensor, or more precisely, on the front of the filter stack in front of the sensor. It is large enough that if you remove your camera's lens and open the shutter using "manual cleaning" mode, you'll likely be able to see it with your unaided eye.
The "dust spots" on your sensor you see in photos taken at higher apertures are actually the shadows of that dust that is sitting on the front of the filter stack roughly 2mm or so in front of the sensor itself. Just as a small, "hard" light source will cast a well defined shadow and a large, diffused light source will cast a very soft shadow so the definition of the dust's shadow is determined by how collimated the light casting the shadow is.
Dust in a lens is generally too out of focus to be seen in an image, although the cumulative effect of lots of dust can reduce contrast and exacerbate lens flare.
It takes a lot of dust and/or damage to the front of the lens to affect image quality. As you move further back through the lens the effect of the same amount of dust will be greater than at the front. In most cases, however, it will still be for all practical purposes not detectable in the images you make with the lens.
Almost all lenses, including expensive new ones, have specks of visible dust inside the lens.