All modern diesel cars have an exhaust gas recirculation valve, commonly referred to as EGR or AGR. This is a part of both the intake and the exhaust systems that is designed to reduce the combustion temperature of the fuel-to-air mixture in the cylinder (by reducing the amount of oxygen) in order to reduce the amount of NOx (nitric oxide) in exhaust gases and to improve environmental characteristics. It also performs secondary burning of the exhaust gases in the engine (hence recirculation) that in theory should be better for the environment.
It functions quite simply - this valve deflects part of the exhaust gases from the exhaust manifold to the intake. There exhaust gasses mix with fresh air and re-enter the engine.

Despite the apparent simplicity, the EGR valve is a rather complicated and sensitive mechanism. It works in a very narrow range of RPMs and loads. Faulty operation of EGR valve often leads to significant problems. Signs of a faulty valve are:

• "Check Engine" lights up on the dashboard (and also coil icon in VAG-group cars).
• Car sputters, smoke appears from exhaust, engine stalls. 
• Power drops sharply or car jerks constantly when accelerating.
• Sputtering with a cold engine that disappears after warm-up or vice versa.
• Dirt build-up in the engine intake system.
• Dramatic increase of fuel consumption.

Why EGR fails? It's simple - in 90% of cases it becomes clogged up with exhaust tar and sediment. In other words - it fails due to the build-up of impurities that the EGR itself creates inside the engine. 10% cases of failure are attributed to wear or electrical problems. And where are these impurities coming from? Part of exhaust gases re-enter the inlet manifold after being a cooled in the heat exchanger. During the cooling, a thick layer of tar deposits starts to build-up. It is the EGR that creates all these impurities that are observable in the intake manifold. This causes a significant drop in the power output and the failure of swirl flaps in the intake manifold as well. Majority of EGR valves also have their own radiator (heat exchanger) to cool down the incoming exhaust gases. Over time this radiator starts to leak and causes constant leaking of coolant. As you can see - this valve causes a significant amount of headaches.

Another method is to do a deep cleaning by using special chemical agents - this restores the valve to its full potential only if the malfunction was caused by clogging up. The cost for this procedure varies depending on the design of the valve and the complexity of installation, and the procedure is performed by disassembling the valve completely. Advantage - the valve operability is completely restored. Disadvantage - problem reoccurs in the future, further ingression of impurities into the engine.