I first encountered Angels on horseback at the Santa Fe restaraunt in McAllen, Texas. I can't quite place what was in the cocktail sauce served with these but I came up with something that goes equally well with them. The sauce was something like a spicy Chinese Hot & Sour sauce. In the sauce I quote below, I always add an extra kick with Louisiana Hot Sauce! The water chestnuts give a little extra crunch to the bite.