well.. like alot of other people here.. my 96 a4 2.8 quattro get just around 14 mpg. the car also feels sluggish.
I was thinking about changing the o2 sensors but when i got the codes scanned,
the only code that came up was p0401 (EGR flow insufficiant detected).
My check engine light is also on, most likely because of that code.

Is it still worth it to change my o2 sensors, or does the EGR being blocked account for the drop in performance?

ive read about all the other things that could account for a performance drop but they all seem to trigger a code and since ive only gotten one ...

 

you have 14mpg,
I have 11MPG

 

for the egr fault of course check the vacuum lines and that the egr opens under vacuum.(hook up vacuum pump with engine running and you should hear the idle drop and run rough. when you let off with the vacuum pump the engine should run normal again. if it doesnt do this the egr port is clogged going to the valve. you will probably have to take off the intake boot and throttle body and egr temp sensor to clean the passage completely out. the get gummed up with carbon resulting in no flow

 

In audiworld I did a search on EGR valve and got a good write up on how to repair a cloged EGR valve. Not too difficult, just some basic tools.