Cascaron is the Spanish word for eggshell. A cascarone is a chicken egg that has been cracked at one end, emptied, and washed out. The eggshell is then brightly painted or dyed. When it's dry, it's filled with confetti and a piece of tissue paper is glued over the hole.
It's fun to make cascarones, although you can also buy them - at least in the Southwest. But the best part is cracking one over someone's head! And the person who has a cascarone smashed over his head is supposed to have good luck!