a deep-frying thermometer; a piping bag and a small star tip (recommended: Ateco tip #863 )
Put the vegetable oil in a large, heavy-bottomed stockpot fitted with a deep-frying thermometer. Heat the oil over medium-high heat to 375 degrees F. Place a cooling rack over a paper towel-lined baking sheet.
Fit a large piping bag with a small star tip.
In a mixing bowl, whisk together the pancake mix, cinnamon, salt and nutmeg. Pour in the milk and vanilla extract. Stir vigorously to form a thick dough. Transfer the dough to the prepared piping bag and squeeze to press the dough down towards the tip.
Carefully squeeze about 3 inches of dough into the hot oil. Use a pair of kitchen shears to trim the end of the churro from the piping bag. Repeat this process to create 3 more churros. Fry the churros, turning occasionally, until golden brown and crispy, 2 to 3 minutes. Lift the churros out of the hot oil and allow any excess oil to drip off. Place the churros onto the cooling rack and continue this process until all of the dough has been fried.
Place the granulated sugar into a shallow bowl. Dredge the warm churros in the sugar until evenly coated on all sides. Serve with the Chocolate Dipping Sauce.
Chocolate Dipping Sauce:
Put the fudge, cream, cinnamon, chili powder and salt in a small saucepot. Cook over medium heat, stirring occasionally, for about 3 minutes. The sauce will thicken as it cools.