To add a little to Donavan's excellent info:
For the most part, I'd only remove the A.I.R. system if, as Donavan noted, you have no cats and no sniffer test.
EGR introduces inert (spent) gasses at cruise. This helps to lower emissions and increases engine efficiency. The inert gasses (think of it like 'filler') allow more timing and less fuel to be introduced. Performance goes down as a result but you're just cruising, right. And because performance goes down, you step deeper into the throttle to maintain speed (you generally wont even notice this happening). This opens the throttle a little more than it would be otherwise, which improves efficiency.
I'd only remove the EGR if it was broken or for aesthetics. Others will disagree with me.
There are other items like the EVAP system, which does nothing but richen the mixture slightly when the purge solenoid dumps stored vapors (or raw fuel if your name is Paul

). It's nice to have the EVAP system closed, especially if you park your car in a garage or someplace near an appliance with a pilot light. I'm not real big on having fuel fumes vented near pilot lights.
I think those are the biggies you might be considering.
Good luck.