Experience with the Egg of Tao?

I have not used any of the items listed in the responses personally. I am a belly dance instructor and if you can engage your pelvic floor muscles for an extended period of time you can strengthen them quite well without having to insert anything.
There are a lot of moves in belly dance that require constant use of the pelvic floor muscles. When I first started dancing I would engage the muscles while sitting and try holding the contraction for as long as I could and release (almost like if you were lifting weights) the longer I could hold and release the more I would increase the length of time. As you progress you can do it standing up, subsequently I was able to engage and hold the muscles for certain dance moves that require a quick contraction for a lower abdominal hip move with an accent.
To help your progress try pulling in the lower abdominal muscles (initially)and then imagine yourself pulling in the pelvic floor muscles and hold always try to engage one layer more hold for as long as you can (keep breathing) and then release and repeat. You can do that type of exercise anywhere. If you have more questions or need it explained further let me know : )
Good luck!

I haven't heard of the egg of tao, but I have been looking into the FPT (feminine personal trainer). I recently had surgery for prolapse issues and I've read that some personal trainers that specialize in pelvic floor issues recommend these. You can order them from medical supply stores on the internet. I haven't tried it yet, but I've read that using something that weighs a few ounces offers enough resistance to help you develop muscle strength faster (like with any muscle, I guess). The cheapest I've found them is $80, including shipping and handling.

i havent used them, but athenas (naughty parties) carries ben wa balls, theyre supposed to be great for toning, and sounds like they may be cheaper as well, good luck

Ive used the connected balls that you stick in the vagina to improve kegels. They are coated in a rubber and have a string attached to pull them out. Benwa balls maybe?? I thought they were weird, didnt hurt or anything but I felt like I was about to lay an egg.

No personal experience with an "egg of tao", but don't waste your money on devices like you describe. Google "pelvic floor exercises" and I'm sure you'll find all sorts of methods to strenghthen those muscles and it won't cost a dime!