EGT sensor broke in DPF

Broken exhaust parts like that can be a real bother. This is sort of common with O2 sensors and other exhaust parts. Removal depends mostly on access. You would be better off removing it to work on it as the high temperatures will make the metals used hard and brittle. What I have done, if there is room, is to take a saw blade and cut two slots from the inside out to the threads. Then knock it free with a punch and hammer. As long as you don't cut deeper than the threads the new part will seal the cuts when installed. If the sensor has a smaller thread than normal a left hand drill bit and heat may remove the broken piece.