Some rules just work better if applied to the entire EU, but it's not essential for a lot of rules. Example the vacuum cleaners: do we seriously need these things enforced from the EU?
There are of course rules that would require everyone to participate to work.
Also IMO a country should be able select which parts of the EU they wish to participate in: monetary, military, schengen zone, product safety rules (and thus easy in and export...), ...