Quick history lesson, then some sweet photos.
In 1916, German Weapons Scientists developed high speed photography. Basically, the way they do it is for a few milliseconds, the film flowing through the film gate at several hundred frames per second is stopped to capture the image. I'm gonna guess the pictures that followed were taken by about 620 frames per second.
Honorable Mentions: (All done with bullets or sharp/hard things)
All involving water:
By the way, pertaining to the breaking egg, I had always thought it was fact that you cant break an egg in your hand if it has no cracks (look it up). However, Mr. Kirby proved that wrong in 3 seconds, and I had egg on my face, literally, and the ceiling, so don't try it.