They're not the same kind of animal. Egghead is more exclusive content and videos created exclusively for that site. Udemy is just a collection of courses for people to sell if I'm correct. I've just checked and seeing as they have over 45,000 courses I'd say this is still the case.
I personally prefer egghead.io. The videos are super concise.. so great if you get bored easily. The quality seems higher than anything I've seen on Udemy. I've only heard bad things about Udemy, such as some people reselling content from other sites on there.
Pluralsight is a great resource for some things and is getting bigger all the time. You can get a decent free trial on that.
Other than that have a look at thinkster, quite similar to egghead.