They really don't need to be cleaned at all. As the hen lays the egg, she adds a last layer to it called "bloom" and it protects the egg from bacteria. Washing the egg washes off the bloom.
If you're one of those people who feel more comfortable with washed eggs. Wash in warm water, no soap. The egg is porous, and you don't want soap getting inside. Using water warmer than the egg will make the egg "sweat" which will keep the dirty water from going into the pores. Make sure to refridgerate washed eggs, since you've just washed off the bloom.