From what I have read, it can be up to a month before "the egg factory" is fully functional. Until then, eggs will be laid sporadically, and "weird eggs" can be produced. Some crazy stuff can come out of a chicken, and I'm on the lookout for anything unusual and exciting!
The first egg was laid when my four pullets were a solid 20 weeks old. This is also pretty normal, but frustrating! Most pullets start laying between 18 and 20 weeks, although some can lay their first egg as late as 26 weeks. I have heard that the later a pullet starts laying, the better eggs she will lay, and for longer in her life. But this may just be an old wives' tale, meant to console the frustrated chicken owner.
I can't tell which chicken laid the egg, but I suspect it may have been Dolly. Her comb and wattles grew out first, and have been a bright cherry red for the last two weeks. The growth of the comb and wattles is a sign that the egg factory is starting to come online, and their color indicates the hen's readiness to lay. When chickens moult and stop laying seasonally, their comb and wattles fade to a lighter pink.
After I got the first egg, I set up their nest box. You don't want to set up the nest box too soon, lest they mistake it for a bed! The nest box should be kept for laying eggs only, to help keep the nesting material clean. If your chickens start dawdling or sleeping in the nest box, the inevitable will happen, and you will end up with poopy eggs. No one wants that!
Chickens are remarkably nonchalant about their nest boxes. Many people use whatever they have on hand, whether it's a plastic storage tub, a spare cat litter box, a five gallon bucket, or a plastic milk crate. As long as it's about a foot in all three dimensions, the chickens don't really care. Plastic containers work well, because they're easier to clean than wood.
I used a square plastic bucket that my cat litter was sold in. I ended up taping a bit of scrap wood across the bottom edge, to serve as a lip to hold the litter in. Otherwise (I learned) they will climb in there and scratch all the litter out. Naughty chickens!
You may also need to put something egg-like into the box, to teach them where to lay. I found some egg-shaped rocks, but other people have had good luck with golf balls. Chickens have a biological drive to lay their eggs where someone else has, so these should tempt your pullets into the nest box.