Sigh...
We have a saying around here, which is "the search police don't live here"... But sometimes issues come up that have been beat to death so much it's almost ridiculous.
To read threads on this topic, you can use google site search to dig them all up:
http://www.lmgtfy.com/?q=remove+egr+site:supramania.com
The cliff notes are:
The USDM ECU was designed with the EGR system in mind. As such, when you remove the EGR, you throw the tune off on the car, so if you're running a USDM ECU, you should run the EGR system.
The JDM ECU was designed without the EGR system in mind. As such it has no support for EGR, and if you're running a JDM ECU you should not run the EGR system.
Outside of that you're going to get a lot of commentary about passing emissions, polluting, etc.