When I was in third grade, my egg didn't break, so I'll let you in on what I did:

If I remember correctly, you need 1) 1 small cardboard container, 2) cotton material and possibly that bubble packaging stuff, 3) strings attached to the box with 4) a parachute. For the parachute I think I used one of those toy army soldier ones... not sure if they still make them though. Or you could probably use a pillow case.

Good luck!

PS. I remember one nerdy kid used a bag of jello. That didn't work, but it was awfully funny.