Have you ever heard of such a thing? It also goes by many other names: "egg in a basket", "egg in a window", "egg in a frame", "Alabama eggs", "Guy Kibbee egg", or "toad in the hole."
I only just came across it while reading one of my favorite food blogs. It's quite simple really. First attempt and pictures to come.
edit: Attempt along with a recipe can be found at this later entry.