if one blocks off the EGR - i would go burn a chip so that the puter does not dial in a ton of timing, thinking that the inert gasses are entering at part throttle. not everyone has this problem, but i would not delete the EGR w/o letting the puter know.
The computer adds spark advance to compensate for the recirculated gases and the slower rate they burn at.
The EGR shuts off at Wide Open Throttle (WOT), so it has minimal effect on performance. The addition of exhaust gas drops combustion temperature, increases gas mileage and reduces the tendency of the engine to ping.
To add to jricker's and hissin's comments - removing the egr valve, without altering the ecu accordingly, can cause a mixture that's too lean with too much timing at part throttle - leading to lean conditions and detonation. I used my Autologic chip to turn off the egr function in the ecu when we removed the egr.