Heat the oil in a large Dutch oven (making sure it is no more than two-thirds full) to 375 degrees F.
As the oil comes to temperature, make the buffalo sauce. Combine the hot sauce, butter and cayenne in a small saucepan over medium heat; keep warm.
Fry the pierogies in two batches of 12. (The oil will pop and foam at first, but will settle in about 1 minute. Watch the temperature to try to maintain the heat, as frozen pierogies will initially drop the temperature by about 30 degrees.) Fry until golden brown, about 6 minutes, then drain on a sheet tray lined with a wire rack. While the pierogies are still warm, toss them in the buffalo sauce and serve on platter drizzled with the Blue Cheese Dressing.
Blue Cheese Dressing:
Combine the sour cream, blue cheese, mayonnaise, milk, vinegar, salt and pepper in a bowl.