I'll be honest - I haven't tried this yet. But it's something I'm going to try next time there's a campfire at breakfast time.

You need:
Orange or grapefruit
honey (optional)

Cut the fruit in half and eat with a spoon. If eating a grapefruit, it's really good warmed by the fire and coated with honey. After eating, pull out the membranes for a clean fruit "cup."
Crack the egg into the fruit peel.
Using sticks or rocks, prop the "cup" in the fire and cook for approximately 5 minutes or until the egg is cooked through.