You've probably seen our friend Julian Edgar at Autospeed has tweaked his car's (1st generation Insight) EGR with some positive results on fuel economy:
Tweaking the EGR, Part 1
I think it's absolutely worth investigating - since I've switched primarily to driving with load on the open road, I'd love to be able to optionally go into "EGR mode".
As has been mentioned, driveability can be an issue with too much EGR (regardless of load). However I suspect some ecomodders would be willing to sacrifice
some amount of power, smoothness, & throttle response under cruising conditions if we can control the extent of it and when it's active.
I know I would.