Your EGR valve may be bad, or possibly clogged with carbon deposits making it stick open. This usually occurs when you have been running the engine at 2500 RPM or above for a couple of minutes. This results in the EGR valve to stay open and causes rough idle, poor gas milage and high HC (hydrocarbon) emissions. (Among other things) The problems are similar to a vaccum leak, which can also cause rough idle.
Here's a good one for a vacuum leak. It helped me find one on my truck.
http://members.aol.com/carleyware/library/vacleak.htm
Here's a link for rough idle in general.
http://www.misterfixit.com/ruffidle.htm
And search on the web for the exact way to check for EGR sticking open. You'll need a vacuum gague for this.
Hope this helped.