Unless you have a way of tricking the ECU, you'll get the check engine light on if you remove the EGR. Its not always a simple thing to do. As for the mileage, I don't think you'll see much of an increase at all.
One of the reasons behind EGR being in an engine is that it helps economy at part throttle by lowering manifold vacuum a few inches and reduces pumping losses on the freeway and putting around town. Helping emissions is also what it does but it plays a role in what this whole forum is about.