EGT can tell you where the limits of your engine with its current fuel are before you find them by melting internals, turbine wheels, ect. They can also tell you where your making peak torque in your motors powerband to aid in ignition timing. VERY helpful(needed really) when using something like Meth injection, or changing to race fuel, E85, w/e. Remember, especially in a turbo setup heat IS power, so your trying to find that limit.
As far as a safe level for EGT's, that varies on what you have done to your motor, and what fuel you are using.
For a stock block, 800C i think is a safe limit. If you upgrade your pistons and valves you can mess with 900-950C if you really know what your doing and have the motor built to handle it.
Here is a good link on EGT/AFR.
http://www.sdsefi.com/techegt.htm