Note: the video was directed by Guy.J.Bolandi, who also directed green slime idents for the Israeli division of a certain TV channel. He published the music video on his Vimeo account in higher quality: https://vimeo.com/75007575
There is a way to soften egg shells for throwing and smashing on people safely - and that's by soaking them in vinegar overnight. The egg is still intact and looks the same but the hard calcium has dissolved and the egg is now only contained by the membrane under the shell which stays the colour of the shell. Used this method in a video - tried and tested.