Deep fried cookies, and chocolait bars are all the rage at community fairs. Have to be, only rural people would eat those fatty ass things, I mean have you ever seen a skinny rural person?
Anywho, they freeze the cookie/candy bar and then while frozen dip them into sweet batter (usually the same batter used to make funnel cakes) and then deep fry for a few minutes.
Since they are frozen, they dont actually melt or anything like that, so when you eat it you get a chilled inside and fried batter outside.
They sometimes top them with powder sugar, or chocolate sauce. I ate deep fried butter fingers, and almost had a heart attack. I saw a fatty mctubkid eat 5 of those things!
PPl are doing that mainly with twinkies.