Oh Lordy!! Everything from stuffing them in my pockets to using one of my socks out of sheer desperation one day!
Mostly I use my pockets or a nice little plastic coated wire basket that I got at the dollar store. I like it as it never rusts after I wash it. After eight years of gathering eggs, it's my best egg collecting vessel! I frequently forget to bring the basket out to the coop with me, so big pockets are always a blessing. Thankfully, I haven't had to resort to using one of my socks in a long time!