Put simply, the reason is down to the fact that genetic material does not change during an animal's life.
Therefore the first bird that evolved into what we would call a chicken, probably in prehistoric times, must have first existed as an embryo inside an egg.
Assuming that the egg of the first chicken counts (despite Talon's genetics lesson) then of course it's the egg. Only religious fundamentalists are still confused by this issue.
Of course I answered all philosophical questions for myself a long time ago:
What's the sound of one hand clapping? *Claps the fingers of one hand against palm.*
Does a dog have Buddha nature? Yes, next.
If a tree fell... YES, next.
What came first the... EGG, NEXT!
See how easy that is?
-420