I couldn't tell a difference when I removed mine. It is a preventative modification as opposed to a performance one. The EGR allows exhaust gases back into the inlet to be re-burnt, to reduce emissons supposedly. The after effects of this, is you get a build up of a horrible sooty gunge that will eventually clog the inlet and manifold solid.
Sometimes you can get away with just blanking it off. I did on my MK4 PD150 but some of the newer ones are able to detect flow through the EGR. A blanked off EGR = no flow and and EML, so the best way is to have it mapped out properly to cause any nuisance EML's. Tuning companies now do a Stage 0 which will do the required mapping to prevent this but with now enhacncement to performance if that is not your thing.
Heres are a couple of photos of my EGR and ASV at 20K miles.