Many years ago, two gods sat upon their thrones at Seekseequa and Wy'east (known now as Mount Hood and Mount Jefferson in Oregon). These gods were jealous and fought bitterly, but neither was able to prevail against the other. One morning, one of the gods saw a thunderbird flying high overhead, and had a plan. He followed the thunderbird high to its nest to steal the baby thunderbirds and raise them as his own warriors. There were no birds in the nest, only the magnificent eggs - hard stones containing swirls of brilliant colors inside. He stole the eggs, still hoping to raise thunderbirds for his army. The other god, watching nearby, saw the theft. He traveled to another thunderbird nest and stole his own eggs.
The gods' anger soon became too great to contain. One god hurled his eggs at the other mountain. The magical stones flashed across the sky, leaving a trail of fire. When they hit the other god's mountain, the noise could be heard throughout the land.
The second god retrieved his own eggs and began hurling them at the first god. Rocks tumbled from the sky and down the mountainsides as these two gods warred against each other, but neither was able to defeat the other.
The gods continue to steal eggs from the mighty thunderbird to this day, and when the skies become angry the gods hurl these weapons of fire and destruction, terrifying the mortal man with their power. Thundereggs now lie throughout the valley between these two mountains as evidence of the gods' war.
You can also find a cousin of the thunderegg at groundzero, used as this cache container. The real name for this container didn't have a cool mythological story, and UltimateRockHound already is using the name I was thinking of, so I took liberty with this legend from the Oregon Natives (couldn't find the full legend, only basic descriptions) and am pretending the container is a real thunder egg. Enjoy.
Kudos to Bfin for being the First To Find!