I can add some personal experience to fuel this debate, at least as far as the VW diesel is concerned. I installed this tune
Dynamic EGR Control for TDIs - TDIClub Forums from Malone tuning about two years ago. I also put in a higher temperature Stant thermostat and my highway mpg has gone up about 10%. Click on my fuel log.
Everything I read says that diesels like to be fully warmed up and be supplied with lots of clean, cold air. EGR is hot and dirty and has less oxygen. EGR hurts fuel economy in a diesel in my experience.