On highly modified cars with a custom tune I can see a point for removing it. On a stock to mild bolt-on car with the stock tune, you want the EGR functioning properly.
You've probably heard of this mod because people think just because you can do something that you should.
The EGR does a few things, in a nutshell though it recirculates a small amount of exhaust gas in order to improve emissions and it actually increases the efficiency of the engine.