Wolfgang Puck of Spago may be the ultimate L.A. chef, but he grew up in Vienna, and the food there is one of his touchstones. These sausages, called Wiener Würstchen, are a favorite from his childhood. He splits the dogs, fills them with cheese and wraps them in bacon. Once they've been roasted, he serves them on a bun with a spicy horseradish mustard. Although they may seem over the top, they're irresistible.
Preheat the oven to 425°. In a small bowl, combine the mayonnaise, sour cream, horseradish, mustard, honey, shallots, chives and lemon juice and season with salt and pepper.
Place a slice of cheese in the center of each splayed hot dog, breaking the slice if necessary to fit it in. Wrap a slice of bacon around each hot dog and secure it with toothpicks.
Arrange the hot dogs on a rimmed baking sheet and bake in the upper third of the oven until the bacon is crisp, about 12 minutes. Place each hot dog in a bun and serve, passing the horseradish sauce on the side.
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