There was a promotional document a couple of years ago which describes each type of egg they do.[0] The egg mcmuffin is actually the best, as it's entirely just an egg, cracked and cooked from scratch right there.
Ok, so the worst thing I can find about the egg McMuffin is that it is prepared with 'liquid margerine' which appears to contain some trans fats in the form of 'partially hydrogenated soybean oil'. My understanding is anything that is partially hydrogenated is trans fats.
Apparently it is has 1/3 of you daily allowance of sodium as well.
On the other hand, if you're eating at McDonald's, I suspect the presence of trans fats in the oil isn't something you're super worried about - it's not like it's junk food loaded up with things you can barely pronounce, specifically designed to make up 75% of your recommended allowance of calories while containing as little meat/veg as possible.
McDonald's, as long as you approach the menu reasonably, is honestly probably one of the better fast food options - not something you should be eating every day, but once every couple of weeks probably isn't going to kill you any faster than anything else you do.
Apparently it is has 1/3 of you daily allowance of sodium as well.