I have a '94 that DOES have all the modern emmissions controls including EGR and have observed the same issue.
It's helpful to know that a vehicle without all the emissions control equipment has the same issue.
It's virtually non-existant in warm weather and particularly bad in really frigid weather. I let it idle for long periods in cold weather to avoid the issue. (but the thermostat bypass valve is bad so we're talking REALLY long idle periods -- but since it has the side-effect of delaying or preventing the expansion-related HGasket failures I've left it alone)
Our area changes fuel additive packages depending on the season so it may help to use STP COmplete Fuel System cleaner coupled with some brand of gasoline different from what you've been using. Mine seems to run more consistently and with less cold weather noise on Marathon/Speedway gasoline additive packages. Get less power with BP (plus I don't like their smell) and inconsistencies with SHell.
Just yesterday I happened to notice a vacuum line half hanging off at the evaporator cannister below the driver-side headlamp. (also an emissions component BTW) So it's WAY too soon to know whether this will address both the rough/inconsistent idle and cold-engine knock under load issues. That line is dry-rotting but only the end that I cut off was severe enough to warrant attention. It was a little too long anyway which probably cause it to jiggle and fail prematurely. It is now cut to proper length.
In past testing, a large vacuum leak, artificallly created by pulling a line causes a quick but stubborn stall. A small vacuum leak can have little effect as the IAC quickly compensates. Pulling the IAC wire harness can have little or no effect depending on atmospheric, engine temp and other conditions. If the engine stalls on an artifically created small vacuum leak but with the IAC working then there could be another leak present somewhere in the system(?) Dave is probably on the right track.
Some others have also reported leaks at the intake manifold. I noticed when pulling my head that most of these bolts were backing-out. (same for exhaust manifold BTW) So it's a good idea to go and retorque those every 60k or so anyway.