Tom Holt has written a lengthy volume on the subject. It is called ‘Life, Liberty and the Pursuit of Sausages’. I believe his theory was that the chicken came first, in that if you took a person and turned them into a chicken, you would have a chicken that did not remember the inside of the egg shell, therefore the chicken must have come first.
On a more serious note, my own opinion is that Hashem created eggs and chickens at the same time, since the world was created as though it had already been in existence, and therefore with an already existing cycle of life.