Every single component of the emissions system on the diesel is really expensive. Any single component failure will put the car into reduced power mode.
Normally when a "delete" is done, the EGR system, DPF and SCR are removed along with the DEF injector. Of course, you'll at the very least,have to get a tune that will code out all of that stuff because once that's gone, the DDE won't like it. You'll also have to get a downpipe that replaces the DPF and either gut the SCR by removing the innards or replace with a strait pipe.
The job of removing all that stuff sucks, even for an experienced mechanic. If you're not mechanically inclined, I wouldn't attempt it.
If you'd like to learn more about it, there are several groups on facebook that are heavily involved in that stuff

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2005 4.8is Le Mans Blue
2011 35D Space Gray