02 sensors plug into your exhaust in order to moniter it, relays info to the ECU. Any cat-less systems will effect these, throw a Check Engine Light. EGR is Exhaust Gas Recirculation system in which at idle and I believe constant speeds a valve is opened in the system that a small portion of the exhaust to reenter combustion chambers. Simply put, it reroutes some exhaust back into the engine with the new air/fuel cycle. It turns off at WOT, too.