yes, i've done it. no big deal. been driving one of my daily drivers for 60,000 miles now like that.
it's going to cause your check engine light to come on, so if you live in a state that looks for that, it won't pass. there may be options to work around that, say by swapping a non-EGR ECU (which are common). my state doesn't check so it doesn't matter for me.
not really, no power gains that's for sure. if it's working, just leave it. but in the bigger sense, it depends. it was worth it to me to have one less system and set of components in there, i'm an engineer and fewer points of failure is a good thing to me. i've seen malfunctioning EGR solenoid system cause a shifting problem in automatics, where they don't want to down shift, so to me it's less components, less parts, and removing some possible (though extremely unlikely) failure modes. no more EGR valve, solenoid, gaskets, vacuum lines, and that little tiny quarter sized in-line filter on the passengers side.
i already had the engine out because when I buy Subaru's I buy them super cheap needing work...often meaning an engine or trans...and then fix them. so for me it wasn't much extra work to remove it in the process of swapping the engine.
Process:
1. remove the EGR valve, EGR pipe, EGR solenoid, vacuum hoses, and the vacuum nipple in the intake manifold.
2. block off the EGR passage. make a cover plate - either use a plate from a non-EGR intake manifold that has one or just make one. take a piece of metal, dremel (or cut it however you like) and bolt it on.
2. (alternate) - leave the EGR valve in place as a block off plate but not connected to anything so it's essentially non-operational. i remove them to clean it up.
3. block off the exhaust port where the EGR pipe screws into the exhaust port at the head. find a bolt with that thread pitch and cover the threads with sealant.
3. (alternate) cut the EGR exhaust pipe close to where i meets the head, crimp it over, and weld it shut or weld a ball bearing over the opening. reinstall that small end of the pipe
4. block off the open vacuum tube in the intake manifold. many intake manifolds have place holder screws that screw into unused ports (for cars without EGR, without cruise control...etc), just get one of those and block it off.