Lol, ahh this old question. Well, creatures were laying eggs long before chickens roamed the Earth, so the egg came first.
More on point though, if you go with the whole evolution of the modern chicken deal, then the egg still came first. We could go into a long discussion on it, feel free, but I don't really care to. It's fairly simple to sum up; something close to a chicken laid an egg, then inside the egg genetic mutations occurred resulting in the first true chicken emerging from the egg. The egg was first.
I don't really want to touch the religious aspect of the theories on creation and all that, but keep in mind that even the Catholic Church acknowledges the possibility of evolution's role in the creation process.