Here's an excerpt from an online page about cascarones:

"Many cultures have a tradition of colored eggs, especially around Easter. In Mexico it's common to see colored eggs thrown at fiestas during carnaval, just before lent. They're not hard boiled like the eggs in the US Easter egg tradition. Instead they're eggs that have been hollowed out and have a surprise filling - called cascarones. It's a tradition that's said to originate in Italy, when men would toss hollow eggs filled with perfume at women they were attracted to. In Mexico, you can still see this behavior among young men and women."

http://www.lasculturas.com/articles/hispanic-culture-and-identity/14-culture-a-identity/27-cascarones

This article also includes instructions about how to make cascarones.

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Here's the complete entry from the wikipedia page about cascarones:

"Cascarones or confetti eggs are festive, hollow chicken egg shells, filled with confetti, meant to be thrown or broken over someone's head (usually as a surprise from behind), scattering confetti all over the person. Breaking the eggs over someone's head can be quite painful if done hard enough, however, this is most often done between friends, usually teenagers. Cascarones derived from Mexico and have recently regained popularity in the southwestern United States. They are used for many different occasions but, especially Easter. Having one broken over your head is said to bring good luck."

http://en.wikipedia.org/wiki/Cascarones