I believe they are illegal because the FDA forbids toys being sold with food or something along those lines. Nothing wrong with the egg itself, but the fact that it is sold with a toy inside is apparently what makes it illegal.
From what I understand, it has to do with Nestle/Mars rivalry? About 10 years ago, Nestle came out with a "WonderBall" (anyone remember those?). It was a chocolate ball, with packs of candy and stickers inside. IIRC, Mars didn't like this for one reason or another. One thing led to another, and the "WonderBalls" ended up outlawed because "kids might choke".
Something like that, anyway.
Personally, I love Kinder Eggs. I'd love to be able to buy them regularly.
It really sucks, I order them online from Canada but I'm forced to pay a premium. If the OP wants to sell them to me I'd be so happy
From my research
Quote
Kinder Eggs, a popular European chocolate egg that contains a toy inside, is banned from importation into the United States because it contains a "non-nutritive object embedded in it."
http://news.blogs.cnn.com/2011/04/21/easter-reminder-kinder-eggs-banned-in-the-united-states/ I hear it started because some kid choked and died. Who eats the egg whole, I mean seriously?