I usually stick to the 5.0 board, but thought I would offer my knowledge on this subject.
The EGR is only active at part throttle. At wide open throttle the EGR valve shuts and there is no exhaust circulating into the intake charge. EGR will improve fuel economy by requiring the throttle to be opened slightly more at cruising rpm/load. The opening of the throttle reduces pumping losses just as a 1/2" hose will flow better than a 1/4" hose.
If the EGR is removed there is some concern of timing issues, if the computer is not reprogrammed. When the EGR valve is open there are different timing requirements, so tuning can more be difficult in heavily modified cars (in theory, I don't have personal experience here). If the EGR is removed the check engine light will come on. Limp mode is not usually an issue though. Of course the computer issues will vary with the generation of the computer.
Good luck
Jason