Don't listen to people who say there are no consequences. Ignoring the better gas mileage and emissions points, the EGR cools the combustion chambers preventing detonation, or the dreaded ping thing which can kill an engine, or at least a head gasket at the very minimum if left unchecked. Pinging is a common problem on SN95s so keeping the EGR is a good thing. A car can ping at part throttle without you hearing an audible ping. Personally I ran with EGR deleted on my car for 3 years after I put my ported and milled heads on and had a hell of a time solving it. Finally I put EGR back on with my new intake and it stopped. If you want a cleaner engine bay and hate the SN95 plumbing do a fox TB conversion and run a Fox EGR valve, I did that and it is great!
Tim