I know other people have answered already, but I would like to confirm that they are a thing and wanted to give an example:
I was breeding a Super Size Pumpkaboo with a Gengar and got the Egg Moves: Curse, Destiny Bond, and Disable.
And to confirm again, you can get Pokémon that know Egg Moves in the wild. Just look for the yellow aura. These Pokémon are great for breeding because they have a number of guaranteed stats and IVs, plus the Egg Moves!