The egg's classification as a character may be a stretch; however, it has spoken a punch line and played a large role in some character conflict early on in the strip.  Analysis of its one line would indicate a sarcastic creature.  However, after many years of idle rest, it is completely unkown if the creature inside is alive, and, if so, even a penguin at all.  Only time will tell if whatever inhabits this egg can finally break its shell and socialize with the other characters, as well as join in on whatever is hip, hop, and happening on the vast continent of Antarctica.