Despite its name, these eggs are not preserved for thousands of years. Despite being served on Fear Factor, they are NOT gross. Just ask my fiance, who's not Chinese by the way. It's just a matter of acquired taste. I don't love it, but I've learned to live with it.
Basically, eggs are preserved in a mixture of clay, salt and other ingredients. When you bring them home from the Chinese supermarket, you first remove the clay exterior or crust to get to the shell of the egg, give it a good wash, then it's good to go. The egg white (which is no longer white, but a transparent brown) is, for the lack of a better word, like jello and the yolk is creamy inside. These eggs are widely used in congee, which is a rice porridge, our version of comfort food.
I hope this will ease your fear if you ever come in contact with a thousand year old egg. Happy Halloween!