Golden Gate Bakery has gained a lot of tourist momentum - usually there is a massive line waiting outside to get an Egg Tart. I've tried it and it's good, don't get me wrong, but also the most expensive in Chinatown. I'd recommend trying other places as the quality is just as good (as long as they're hot!), but for much less in cost and without the long line.
TIP: they frequently take vacations so you may want to check if they're even open. They take trips for 2 weeks at a time.