I disagree that they would be tastier, if it's only eggs in the shell. It's only heat.
On the other hand, if you've already made an omelet, then I've read that you can bake an omelet after frying it so that the oven more evenly and steadily applies enough heat to cook the whole thing, unlike if you'd continued to pan-fry in which case you might get some overdone parts just to get some other parts perfectly cooked. This method, I can vouch for.
Then, of course, there's Scotch eggs that I'm experimenting with... they're usually deep fried, but some recipes have them baked, as the (already-boiled) eggs are cocooned in sausage meat and breading, well you can bet these are much much tastier coming out of the oven!