My parents got me a jalapeno roaster as a gift, and I have really been giving it a workout. You basically core jalapenos, stuff them with, uh, stuff, and roast them for an hour.
I usually try to take all the seeds and membranes out, as some people still think they are pretty hot without them, but feel free to leave an amount in that suits your tastebuds.
I've been known to top them with pieces of bacon but I've not been doing this lately.
I'm still working on coming up with something for roasting dogs. I feel like it needs to be more complicated than just putting them on a grill!