"It's warm to the touch. This cave is warm, aye, but it's not warm enough to heat stone like this. I'd think it was a dragon egg except those aren't real. And, besides, dragons come from the east."

Why would there be a dragon's egg north of the Wall, tucked away in the back of a cave? It makes no sense to Jon and he doesn't even think a maester could make heads or tails of it. He does know that he's going to take it with him. He doesn't think he should leave something so potentially valuable (or dangerous) behind.

"Let's take it back with us."