I have an application written in python. I created a plugin system for the application that uses egg files. Egg files contain compiled python files and can be easily decompiled and used to hack the application. Is there a way to secure this system? I'd like to use digital signature for this - sign these egg files and check the signature before loading such egg file. Is there a way to do this programmatically from python? Maybe using winapi?
Is there a way to secure this system?

The answer is "that depends".
The two questions you should ask is "what are people supposed to be able to do" and "what are people able to do (for a given implementation)".  If there exists an implementation where the latter is a subset of the former, the system can be secured.
One of my friend is working on a programming competition judge: a program which runs a user-submitted program on some test data and compares its output to a reference output.  That's damn hard to secure: you want to run other peoples' code, but you don't want to let them run arbitrary code.  Is your scenario somewhat similar to this?  Then the answer is "it's difficult".
Do you want users to download untrustworthy code from the web and run it with some assurance that it won't hose their machine?  Then look at various web languages.  One solution is not offering access to system calls (JavaScript) or offering limited access to certain potentially dangerous calls (Java's SecurityManager).  None of them can be done in python as far as I'm aware, but you can always hack the interpreter and disallow the loading of external modules not on some whitelist.  This is probably error-prone.
Do you want users to write plugins, and not be able to tinker with what the main body of code in your application does?  Consider that users can decompile .pyc files and modify them.  Assume that those running your code can always modify it, and consider the gold-farming bots for WoW.
One Linux-only solution, similar to the sandboxed web-ish model, is to use AppArmor, which limits which files your app can access and which system calls it can make.  This might be a feasible solution, but I don't know much about it so I can't give you advice other than "investigate".
If all you worry about is evil people modifying code while it's in transit in the intertubes, standard cryptographic solutions exist (SSL).  If you want to only load signed plugins (because you want to control what the users do?), signing code sounds like the right solution (but beware of crafty users or evil people who edit the .pyc files and disables the is-it-signed check).
Secure plugin system for python application