The T4 TDI boys seem to swear by them.
As the EGR is vomiting your already burnt exhaust gases back into the inlet tract deleting it is unlikely to be a bad thing - they're there to improve emissions.
The big thing, as alluded to by Scarr is that it stops sh*t going back through your inlet manifold. When you go to delete your EGR you will probably find it's all furred up with soot. Deleting this will have a positive impact!