I don't think they are hard to change but I'm totally just going on what I've heard. And I don't think having a dirty one would cause sluggishness because people actually remove it as a do-it-yourself mod to make the car go faster. Here's a link to Brady's webpage that demonstrates how to take it off altogether and it describes why it is beneficial:
http://members.tripod.com/~Pre_ludE/pmods.html
My EGR valve was clogged shut and I just failed emissions a couple of weeks ago because of it. After it was cleaned out and working I think I felt a "slight" loss of power but that could have been in my head because I know that if it was shut, I wasn't recirculating hot, combusted gases through my engine again, which is a good thing!