In Sonic Adventure DX Director's Cut there is a chao egg in the store you come in from the area where you get the Light Speed Shoes. You can't leave the store with it so how do get it?
You need to get the rock located to the left of the enterance to Knuckles' version of Speed Highway (in a little lawn thing) and bring that into the store. Then, when you take the chao egg off of the "mini-alarm," put the rock where the chao egg was and you'll be able to leave the store with the egg. --True Red & SA Tails