Jude's first example is of the children of Israel: "how that the Lord, having saved the people out of the land of Egypt, afterward destroyed them that believed not." This does not speak of the Egyptians, keeping it in context, but rather the unbelief in the murmurings of the Hebrews. It was so widespread that all but two of those 20 and older at the time of their numbering (Num. 1) God would kill before reaching the Promised Land (Num. 14:28-35). It mattered little to them that God had saved them (Ex. 12:51) and provided for them every step of the way, even meeting some of their complaints. As Peter said, they denied the Lord God that bought them. This serves as a strong warning to Jude's readers, then and now, of God's punishment and wrath upon those that turn away from His grace. Just as these certain men do, the children of Israel hated authority and went after their own lusts (Heb. 3:14).
The application: Paul gives the warning not to follow after their ways and in their certain sins, but that rather those things were written for our example (I Cor. 10:1-13). May we be careful to thank God for his grace and not abuse it, and watch for those who do.