Preheat oven to 350. Remove stem ends from mushrooms. Brush mushrooms with oil on both sides and bake in oven for 10. Turn over and bake an additional 10 min. Put half of chopped, cooked bacon on each mushroom; place egg on top of that. Return to oven for an additional 10 min. or until egg is set. Top each one with 1/2 of the cheese; let melt and serve.