When checking the EGR Valve to see it is working. Should i be able to use a hand held vacuum gauge hooked up to it. I should see the valve moving and if it's working right the engine should run really rough or stall out at idle?

 

You should be able to "tee" in a vacuum gauge to the EGR line and observe teh vacuum applied to the valve. If the valve is backpressure type, it may or may not open when the vacuum is applied. If it is a straight port type valve, it should open and the engine should stumble from the loss of intake vacuum.

What model/engine/year?