Here's what my quick search turned up (not to say I'm not open to other info):
To Cook, or Not to Cook? The Benefits of Raw Egg Yolks
Many people believe that the health benefits of egg yolks are greater when the yolks are consumed raw. Heat destroys enzymes, reduces the amounts of certain nutrients, and may make the amino acid cysteine less available, which is needed to synthesize the master antioxidant of the cell, glutathione.
Those who eat raw egg yolks report easier digestion, increased stamina, and resistance to illness â?? not to mention a quicker snack if they're on-the-go.
That said, there is little evidence beyond such anecdotes that egg yolks are truly more beneficial when consumed raw.
There is also little evidence to support the common belief that consuming raw egg yolks is dangerous. Please see Dr. Mercola's article on the safety of eating raw egg yolks if you are concerned about this.