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I had always thought that the phrase originated from slapstick comedy where the "fall guy" always ended up with the custard pie on his face, but this website gives the following information: Meaning: To be embarrassed. Example: Make sure you have your story straight, go public without the facts and you will have egg on your face. Origin: From the embarrassment suffered if the yellow yoke is on ones lips or beard after eating a soft boiled egg in one of those egg cups, a favorite breakfast of the upper crust... Yellow egg shows up especially well on a beard or mustache.
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Diamond Enthusiast

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So far, I'd say this has to go in the "undetermined" category. That page, while it may well be right, doesn't strike me as very official. The American Heritage Dictionary of Idioms gives eggs being thrown at vaudeville performers, but only as a "possible" origin. Of the two, I am more inclined to believe the origin Karrow states.
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