Combine flour, sugar, baking powder, and salt in a medium mixing bowl. Cut in shortening with a pastry blender until mixture resembles coarse meal.
Combine milk and egg, stirring well; pour evenly over flour mixture, stirring until dry ingredients are moistened.
Turn dough out onto a lightly floured surface; knead lightly 3 or 4 times. Roll to 1-inch thickness; cut with a 2 1/4-inch biscuit cutter. Place biscuits on a lightly greased baking sheet. Bake at 425° for 12 minutes or until lightly browned.