Spiny Eggs are spiked balls launched by Lakitu. They're small, and are usually red. Upon landing, it'll become a Spiny. It's title is deceptive, as it isn't actually an egg. It's nothing but a Spiny curled into a ball. Like a Spiny, a Spiny Egg is vulnerable only to fire and Starman, making it a bit of a nuisance.
In New Super Mario Bros., it's revealed that a Spiny will curl back into a Spiny Egg when water touches it. In Super Mario Bros. 3, Green Spiny Eggs were introduced. They never hatch, and they do nothing but roll around on the ground.
They've also been referred to as pipes, possibly due to the existence of Sky-Blue Pipes (the Sky-Blue Spinies response to the Spiny Eggs).
The Super Mario Bros. Super Show!
Spiny Eggs made a brief cameo in The Super Mario Bros. Super Show!. However, here, they were all pink.
The Adventures of Super Mario Bros. 3