I know what the problem on my vehicle is just trying to find the egr valve on a 95 gmc jimmy. I'm fairly sure I know just want to make sure before I start replacing.

It is the cylindrical object shown at the tip of this arrow. Google "GMC EGR valve" to see what the valve looks like by itself.

it is under intake hose its a round cyl about 2.5 to 3in round two bolts 10 mmm 1 electric plug look up one on ebay so you know what it looks like good luck

Common for the EGR valve to get dirty with carbon and causing it to stick open. Start with the simple and clean your EGR valve and throttle body, if the EGR valve is to far gone to be cleaned. Your going to have to replace it,you can use Deep Dreep made by Seafome and would be a good idea also to give your Jimmy a Seafome treatment.
Use two cans and follow the instructions on the can and thins should bring life back to your engine.
Thank you for using fixya, and be safe.
http://www.seafoamsales.com/ http://gmcowners.com/gmc-forum/showthread.php?t=13770

It's an egr valve problem (exhaust gas return) egr position sensor.
Take off the egr valve and turn it over and see if there is carbon build up in the ports, if there is clean it out with a pipe cleaner and a little carbon cleaner, just spray a little into the ports and clean it out. If that doesn't cure the problem, then either the sensor needs replacing, and or the egr valve.

check and clean ur egr valve possible carboned up -clean valve with carb cleaner and check valve movement

Purchase new egr valve gasket with screen on it. The motor as it get older produces more carbon it then begins to break off and when the valve opens it get caught in there. i have cleaned mine several times and finally found the gasket at napa for around 22 bucks. All you need it 10mm wrech and 10mm socket with ext. takes around 10 min to do.

My 94 Jimmy had similar problems, until the dirty EGR valve was replaced. We tried a million things, first. But the improvement with the new EGR valve has HUGE.

In side the left corner of the glove box is a cover....remove the cover and you will see 2 square relays...swap these one for the other and then try....these relays will fail..and when it does overheat it WIll shut the engine down.

It sounds like you need a tune up, Spark plugs and wire and cap and rotor, fuel filter and clean the EGR Valve. I'ld say the EGR valve is dirty with carbon which is common in the 95 JIMMY"S and BLAZER"S which also means the throttle body needs to be sprayed down with throttle body cleaner, not carb cleaner since it's to corrosive to the gasket on the throttle body. Keep me posted, be glad to answer any questions you may have and good luck friend. 

its imposible that a car wont start because of egr valve the egr valve is under the upper radiator hose on the intake hope it help pierre