What the EGR does, when it's working properly, is to recirculate exhaust gases with unspent fuel back into the combustion chamber for another burn (it's an emissions thing, but that's another post). What it really does, especially when it's not functioning properly, is to recirculate exhaust gases back into the combustion chamber for extra heating - not good.
It also seems to make a properly tuned diesel just that little bit smokier - Noel spotted my malfunctioning EGR from Monty's sooty tailpipe. No more EGR: immediate decrease in smoke production! 
What an EGT gauge or pyrometer does is tell you how hot exhaust gases are and this is a direct measure of how hard the engine is working. Hot exhaust - lots of fuel, lots of work. Cooler exhaust - cruising and maintaining speed, engine not working that hard. A pyro is very useful in a diesel-engined vehicle, especially a turbo-intercooled one or one that is used for towing (check on both items for me). Why this is important is because exhaust gases drive the turbo, and the turbo is oil cooled, so if you turn off the engine while the turbo is still glowing hot (literally, glowing hot), bad news for that turbo (see other post on this forum about dead turbo and cooked exhaust manifold). This is why some of our JDMs have turbo-timers in them.
The water temperature gauge on the dash is a good indicator, but the lag time is too great and by the time the needle is in the red, it's too late. With a pyro, one can ease off the accellerator much sooner or downshift if possible (higher revs has a cooling effect on the engine), thereby reducing engine temps much more quickly.
For a writeup and some pictures, look at my website.
Shouts out to Noel at EnviroImports for blanking plate manufacture and gauge sourcing, and of course all those here who posted about EGRs and EGTs.
