Other methods of making this call for a hole to be cut out of the bread with a cookie or biscuit cutter, and for the whole thing to be fried in a pan with loads of grease. I don't do either of these things and I find it to be much easier.
Start by buttering one side of the bread. Place the buttered side down on a cookie sheet (you can grease the cookie sheet, but I find that if I just slide the bread around a bit, it greases the spot underneath it just fine), and poke a hole in the middle of the bread. Using your fingers, squish the bread in the center towards the outer crust evenly in all directions, creating a nice egg-sized hole. Break an egg into the hole you've made. Sprinkle with salt and pepper and then top with grated cheese. You can use any kind of cheese, but I particularly like cheddar with a bit of freshly grated parmesan (I used part skim mozzarella with just a little bit of cheddar today). Bake for about 15 minutes at 350 degrees (depending on how soft you like your yolks).
My kids love to eat this for breakfast because they can eat it with their hands. Serve with a little ketchup or salsa (which turned out wonderfully despite my concerns) on the side, or dunk them into a pool of Frank's Red Hot (my personal favorite).