There's a good one in Broken Sword II: The Smoking Mirror.
When Nico gets to the old Underground station, you need to get some chocolate from the vending machine and then try and give it to the ghost of the Hashashin from BS1. Then go to the far left of the area. Nico will find herself in an area from Beneath a Steel Sky and meet with Robert Foster.
Not so much an egg as a cool reference, but in Myst III: Exile, you can see the Riven book in Atrus' study. Also, realMYST adds a small gravestone to Myst island with the name Ti'ana on it- this was the D'ni name given to Anna, Atrus' grandmother who features in the first two novels (Book of Atrus and Book of Ti'Ana)
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