I've never done it, since there are so many good clarifyers for wine, so I looked at Jack Keller's website to see what he has to say about egg whites. (He's my winemaking idol!).
He says: Egg white is an excellent fining agent for removing haze caused by excessive tannin. Separate an egg and gently beat the white in a small amount of the unclarified wine. C.J.J. Berry insists that one must add a pinch of salt to the white before beating it. I will certainly not argue with him. Use half the beaten white per 5-gallon carboy. Simply pour the beaten egg white into the wine and stir well with a long sterilized rod. Refit the airlock and set aside for ten days. The wine should clarify. Rack and bottle it at once.
I tend to go with Sparkeloid for most wines that don't clear on their own. But I have used SuperKleer with good results. More info from Jack Keller's site in on this page: http://winemaking.jackkeller.net/finishin.asp
(about 1/2 way down the finings start).