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The smog pump is an air pump that injects air into the exhaust to dilute it. To tell you the truth it doesn't take much HP away and can cause your catalitic converter to fail if it is not hooked up.
If yours still works there is no reason to remove it. According to Muscle Mustangs and fast Fords the paracidic drag coused by a smog pump is only measurable in the thosanths of a horse power.
In my case mine was removed by my Dad in 1993 before the Bronco was mine so I had no choice in the matter.
i've removed the smog pumps on a few vehicles. I've never noticed any difference at all in power or gas milage.
The only reason i would remove one would just to free up space under the hood.
If you remove the smog pump, you might as well remove the cat as well. The two work together. Having one and not the other makes no sense at all.
Now...by removing the cat you'll notice a little more power and gas milage. Of course this may be impossible depending on the emission laws in your area.