What is your fuel mileage? Frankly, if the EGR was going to impact your fuel consumption, you would most probably know that your car was hesitating, stumbling and not running very well.
The o2 sensor is one of the important ones that would impact fuel consumption, and normally they are changed every 100,000 miles or less. If you look at your spark plug tips, you should be able to ascertain if the engine is running rich.
The coolant temp sensor advises the ECU whether the engine is warmed up or not - if the ECU thinks that the engine is still cold, it will add fuel/air in order to warm the engine up - again, you would probably notice this with your warm idle, as it would probably not be at the factory spec of 800 rpm.
Timing is another issue - have you ever done a compression test to verify that the engine is timed correctly? Confirmed that your spark plugs are gapped to .028"??
It might be easier if you tell us how the car is running, and what kind of mileage you are getting.
Note that although the factory spec is normally between 25-29 mpg, there are other issues that can impact this - mods you may have on the car, additional weight, tire size, and, as importantly, how you drive. The factory spec is basically attained if you keep the engine under 3000 rpm, shift into 4th and 5th as quickly as possible, rather than driving around in 3rd, etc. Driving around at 4000 rpm - about 70mph - will impact the fuel consumption a lot.