EGR Valve

Well you would have to program your car to not look for the EGR first otherwise you would just cause a power loss since it will throw a code and run in "safe mode" or whatever. So take all the necessary steps prior to removal.

All the EGR does is pump exhaust fumes back into the cycle of air induction to reduce harmful emissions. So there isn't much to be gained aside from having better air pumped into your engine. The main gain from it is that you can get rid of that ugly EGR valve in the engine bay.
 
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