You can buy special egg coddlers. I have two, made by Royal Worcester I think. They are a porceilein (spelling?) dish with a stainless steel lid. You put the egg in, put the lid on and then simmer the whole thing in a pan of water. The nice thing is though that you can add others things such as cheese, ham or smoked salmon to the egg.
this is what an egg coddler looks like, that was my first Saturday job, selling Royal Worcester and Spode china, and egg coddlers were a firm favourite :-)