As opposed to the commonly found and consumed chicken eggs, the simple truth of what dragon eggs are should serve as warning enough to not disturb them, as the average adult dragon will not take kindly to any potential threat to its offspring. They could be found in Ultima VI and Ultima IX.
During their sixth visit to Britannia, the Avatar had to get a dragon egg from the dungeon Destard, before Sandy in Trinsic would reveal the remaining Ten Pirates of Hawkins to the Avatar. Any surplus eggs were given to Shubin at Serpent's Hold, who wanted to turn them into a special meal.
Dragon eggs were again seen in Destard in Ultima IX. However, by then they were so big that the Avatar couldn't carry them, managing only to acquire some cracked pieces of their shells.