I honestly think there is nothing wrong with your valves (cylinder head exhaust valves) because if there was your car would be running very badly, not just a bit noisy. The EGR valve (exhaust gas recirculation valve) is the pipe that comes up from the right hand exhaust manifold and joins to the right hand side of the top of the intake manifold, with the black plastic cylinder ontop with wires comining out. It is and emissions reducing feature that introduces exhaust gas back into the intake air to be re-burned. If it was faulty it may cause the engine to idle erratically perhaps, but nothing major and it wouldnt cause missifire or excessive exhaust noise.
A compression is a good idea, as is checking the spark plugs, ignition leads, and the whole exhaust system for signs of wear.
When doing the compression test, if any of the cylinders are compressing lower than they should be, pour a tablespoon of clean engine oil down the sparkplug hole into the cylinder, then re-test (this may cause some temporary blue exhaust smoke when the engine is re-started). If on the re-test the compression improves, then the piston rings/cylinder bores are at fault. if the compression remains low, it is a valve problem.