I think EGR is more for emission control than anything else, but I'm going to bet that the current crop of super-efficient engines is tuned to work with the EGR in such a way as to improve economy.

Interesting reading:
Exhaust gas recirculation - Wikipedia, the free encyclopedia

What else qualifies as an emissions control device on a modern car? Pretty much just the cat and O2 sensor, I guess. The cat doesn't really affect efficiency, as long as it's sized properly and not clogged or broken. The O2 sensor is a feedback device that is intended to keep mixture in a range that is safe for the cat... but, in doing so, it also ensures that the engine is burning the fuel as completely as possible, which results in greater fuel efficiency.

Can you tune a car to be really efficient without any of these things? Probably. I think you'd at least want an O2 sensor (preferably a wideband, so that you can tune "lean burn" under light load) to make it easy to accurately check mixture. But, you could surely do just fine without the EGR or cat.