You wont have issues if you delete the EGR but do not tune the truck. Like Josh said you will simply have to stare at the CEL all the time. The issue with this is you will end up not knowing when a more important code comes up.
You can probably sell you economind on CL or eBay.
You do not need a tuner close by, just need to get setup with an Autocal for EFI Live. This will allow you and the tuner to exchange info/tunes without needing the truck there or a laptop in the truck.
You will not see any smoke from the EGR delete. The EGR is only used at certain times, yes the stuff that would go through it now goes through your exhaust but thats a good thing. The air that goes into your engine is now cleaner with more oxygen. This produces higher NOX levels but lower PM levels. Potentially. You also wont see any miracle gains from deleting it either. You just have one less thing to worry about basically. Engine reliability goes up but the rest of your truck will rot out and be junk before you notice that.
I've always used RDL's (ProFab) pipes. Fit is top notch, never needed to modify one. HSP and DHD have good reps as well.