Place a large skillet over medium-high heat with 2 turns of the pan of EVOO, about 2 tablespoons. Split each of the hot dogs (We use Angus Hot Dogs) open lengthwise without cutting all the way through, and lay them cut side down in the hot skillet (like a book). Cook until golden brown and crispy, 5-6 minutes.
While the hot dogs are cooking up, place a medium pot over medium-high heat with the butter. When the butter has melted, sprinkle in the flour and cook for about 1 minute. Whisk in the milk, ketchup and mustard. Add the chili powder, some salt and pepper, and bring up to a bubble. Simmer until thickened, 2-3 minutes. Remove the pot from the heat and stir in the cheese until melted. Reserve warm.
When the hot dogs are ready, lay them griddle side-up in a toasted bun and top with some cheese sauce, pickles, hot peppers, and red onion. Serve with Oil and Vinegar Slaw Salad and Doctored-Up Baked Beans alongside.