Eggs wrapped in bacon: the concept is incredibly sound. And with only a few additional ingredients, you can add a lot of dimension to this simple fun brunch dish.
Try a few sautéed onions and peppers or a spoonful of creamy soft leeks; it's really about what you have on hand or what you're in the mood for. Personally, I like to use this technique for the egg portion of huevos rancheros as well.
Microwaving the bacon on a paper towel-lined plate is the easiest way to render out some of the fat before baking. But you could also gently cook the bacon in a skillet—just make sure to not cook it too long.