What is the difference between a "thunder egg" and a "geode"?
You beat me to it, I think they're the same thing.
Two things: geodes are partially hollow inside, allowing the formation of crystals, rather than the more common contents of thunder eggs, various forms of amorphous silica (agate, jasper), including some with valuable opal.
Second, and perhaps to geologists more importantly, geodes form in different environments; thunder eggs always occur in volcanic rhyolites. Geodes can occur in igneous or sedimentary formations -- in sedimentary formations the outer shell is limestone or dolomite.
I knew some of this (especially the distinction between partially hollow and solid-filled), but I learned more here: