It usually works all right to use egg substitute in baking, but it might not be quite the same as using egg. It depends what purpose the egg serves in the recipe, mostly -- lift? binding? fat?

In any case, it's worth a try, in my opinion, but if you really need to go egg-free, I'd look into using baking recipes specifically designed that way.

Egg substitutes usually work for most baking- I find that the flavor might be a little off, but it is definitly ok to use. Ener-g is usually a good substitue for eggs. Banannas and apple sauce also can be used to replace eggs in baking.