Well the Theory of Evolution suggests that a mutation would have happened millions of years ago, evolving whatever creature preceded the chicken to gradually becoming the chicken, which would have started first as an Egg as nothing can evolve into another species in its life time. Just very close to it. That is, of course, if you subscribe to the theory of evolution. If you're a creationist, then I believe they came into existence with all other life when God created them. So which ever one you believe in.
Also, did someone say Aliens?