The EGR valve helps control emissions in cars like the Audi A4 2.0 TDI by recirculating exhaust gases. A failing EGR valve can cause issues like a check engine light, declining engine power, poor gas mileage, and stalling or misfiring. Symptoms that the EGR valve is bad include the check engine light blinking, feeling sluggish during acceleration, and sudden worsening of gas mileage. If any of these issues occur, it is recommended to take the car to a mechanic for testing and potential EGR valve replacement.