In my never-ending quest to get decent mpg.... I de-smogged my truck back when I first got it to de-clutter under the hood. The cat also went away a while back to free up the exhaust a little. I did some searches on EGR valves and whether there was a reason for or against deleting them. As with anything, it's there for a reason, like the smog pump. But is the EGR valve saving the planet or gas mileage?

 

The biggest problem you will face without the EGR is spark knock or ping. This can tear an engine apart.

Overheating can also be a problem since one of the jobs accomplished by exhaust gas injection is to cool the combustion process inside the cylinder at speeds from 30-70 MPH. Without this cooling you can experience dieseling/run on.

The EGR is not the main pollution control and in fact it is more about the engine management than pollution. You have already done away with the cat and that is the biggest preventer of pollution.

 

I think my next step will be the o2 sensor. I can't afford to replace it right now, and I don't have a SEL light on, but I'd like to inspect it to see if it's full of carbon or anything, for what it's worth.

 

They can't really be cleaned, so I wouldn't bother pulling it.
The EGR was used for the detonation reasons mentioned above. It allows the use of a leaner fuel mixture for lower emissions and better mpg at part throttle driving and you can run a little more timing. Wouldn't hurt to put it back on. They can cause idle issues if they get carboned up and don't close properly, but a properly working valve does not hurt performance at all.