This is old news for most of you, but the topic had come up elsewhere, so I thought I'd post:
Conventional EGT gauges use a thermocouple probe. Thermocouples work because 2 different metals will generate voltage based on the metals, and the temperature. So DO NOT extend EGT probe wires if you want accurate readings. If you must, some mfrs sell probes with longer wires, or they sell a specific adapter wire to extend it. Changing the metal composition will change the voltage output. BTW- the voltage is in microvolts, so inside your gauge is an amplifier. Some use an external amplifier. This is why your datalogger won't read EGT data through a normal 0-5v port.
Now, there is a newer kind of EGT temperature sensor. It generates resistance based on temperature, so this does not apply, and it can be read through a normal ohm sensor port. It will read from below zero, to over 1850°F more accurately than thermocouples. They are found on newer engines that use EGT sensors as part of their emission system. 2008+ GM diesels use this kind of sensor. While water temp and oil sensors work this way, they do not have the range of the new EGT sensor technology.