Rita Hofer's caramel cinnamon rolls, which took second place in 2013 at the Montana Winter Fair, have been a local legend since she started taking them to her son's basketball games. Now she sells them at the school concession stand, and fans wipe out her stock every time.
Warm the milk in a small saucepan until steaming. Dissolve the yeast in 1/2 cup warm water. Combine the milk, shortening, granulated sugar, salt and eggs in a large bowl with a wooden spoon. Add the yeast mixture and mix until combined. Stir in the flour to form a soft dough. Transfer to a lightly floured surface and knead until smooth and elastic, 6 to 8 minutes. Transfer the dough to an oiled bowl, turning to coat. Cover with plastic wrap; let rise in a warm place until doubled in size, 1 to 1 1/2 hours.
Meanwhile, make the caramel: Combine the brown sugar, corn syrup and butter in a medium saucepan and bring to a boil; cook until the butter melts and the sugar dissolves, about 5 minutes. Remove from the heat and add the heavy cream; whisk until combined and slightly cooled. Lightly oil a rimmed baking sheet; spread the caramel on the baking sheet and let cool completely.
Make the filling: Mix the brown sugar, melted butter and cinnamon in a bowl. Punch down the dough and roll out into a 12-by-24-inch rectangle on a floured surface. Spread the filling on the dough and roll up, starting at a long side. Cut into 1-inch pieces and arrange cut-side up on the caramel. Cover loosely and let sit at room temperature until puffed, about 1 hour.
Preheat the oven to 375 degrees F. Uncover the rolls and bake until golden brown, about 20 minutes. (Put a baking sheet on the lower oven rack to catch any drips.) Let cool slightly on the baking sheet, then invert onto a large cutting board or platter.