There is only one reason for EGR and it is to help emmisions by decreasing ammount of NOx your engine produces. This is accomplished by introduction of an inert gas, gas that does not burn (exhaust), thus reducing the combustion temperatures. In theory removing EGR will rise your combustion temperature, which in turn will make the combustion more complete, which in turn will yeld more power. Again, gains will be minimal and for street purpose not worth messing with it. Unless you are full race and each hp is critical, leave it on...
BTW, removing EGR is also