It is an emission control device, as said above.
The combustion process - in petrol or diesel engines - will create oxides of nitrogen if the combustion temperatures are high enough.
If you introduce exhaust gas, you actually dampen the combustion so that it doesn't burn as hot, the fuel doesn't burn as completely and less oxides are produced. That satisfies the emission control beancounters.
However, it does reduce the efficiency of your engine. Dampening the combustion process means precisely what it says: your combustion process is dampened, meaning it's being hindered!
People who install EGR blanking plates say that they experience less sooty emissions (as a result of the better combustion), slightly more power and slightly better economy.
There is another form of EGR - and it's a lot higher levels too - coming from the crankcase breather. This stuff - with engine oil vapour added - is directed into the air intake just in front of your turbocharger. A catch can will remove the oil but the law requires that you return the exhaust gas from the catch can to the air intake.
I am not suggesting that you vent this directly to atmosphere - because that'd be breaking the law - but venting it would remove the exhaust gas from entering the intake manifold completely, and give you all the power your engine is capable of without chipping it, changing the exhaust, air filter, turbocharger, intercooler ... things you have to spend large $ on!