As Seatman said, yes, it is most practical to remove the EGR and intake for cleaning. I followed the walk through from this site (
http://www.myturbodiesel.com/1000q/a4/clean-intake-manifold-VW-TDI-carbon.htm ) and it made it very systematic and not too difficult. Be sure to have a set of allen wrenches handy and consider labelling sensor plugs, vacuum hoses, and bolts with tape as you remove them. The EGR comes off, then the intake cooler, then the intake manifold. The toughest part is that all of the bolts for the intake and cooler are facing the firewall, so you essentially have to go just by feel and check with a mirror. Again though, the walk through is a lifesaver.
To clean the EGR and intake manifold I used a generic Autozone "Engine Degreaser" from an aerosol can and it seemed to work great. First I carved out major build up with a flathead screwdriver, then I powerwashed the insides, then applied the degreaser, let it sit for ten minutes according to the can, and used a wirebrush to get the residual carbon buildup. I was amazed at how much gunk was built up in there; it made cleaning it all out seem worth the effort. The EGR is easier because it doesn't have the hard-to-reach inside corners that the intake manifold does, but the majority of the buildup is near the openings anyways I found.
The reason you want to remove them for cleaning is so that you don't knock chunks of crap into your engine that could be scraped around by valves or pistons. One tip that might help-- when you unbolt the intake cooler, you don't have to disconnect the 3 radiator hoses attached to it unless you intend to clean that too. You can leave those attached and then just tie the cooler off to the side. It remains connected by the hoses, but it's got plenty of space to be moved.
Also too, if you have any inclination to remove the exhaust manifold or turbo, this would be the time to do it, as both will be as accessible as they will ever be from above with the EGR and intake removed. I had already ruled stuck vanes out, so I left the turbo in, but it was at least neat to get to see it for once.
Just go slow and be sure to label or keep track of things, re-assembly isn't bad. All told, the process probably took me 3 or 4 hours, but I wasn't in any particular rush and hadn't done this before.
Best of luck, and feel free to ask any more questions you might have!