You guys missed out on having this in your childhood. They're not allowed in the USA because the toy poses a choking hazard. According to Wikipedia, "On January 10, 2011, it was reported that a Kinder egg was seized from a woman's car during a random inspection while entering the United States from Canada. She was informed that bringing the egg into the United States could result in a $300 fine".
"The U.S. takes catching illegal Kinder candy seriously, judging by the number of them they've confiscated in the last year. Officials said they've seized more than 25,000 of the treats in 2,000 separate seizures."