EGR is used control the emission of NOx (Oxides of Nitrogen).
The formation of NOx occurs at high combustion temperatures. Because exhaust gas is basically inert (little free oxygen left) it displaces air in the intake charge and cools the combustion temps. EGR is mostly used at cruising speed and light throttle. EGR is usually disabled at idle or WOT.
In EPA or CARB mandated testing areas, most TR people leave the EGR on and keep it operating, so they can pass the visual tests and drive cycle.
There is no real downside to running EGR on a street car, unless you really want to cut the EGR tower out of the intake manifold for flow reasons.