I have to admit, the deep-fried Twinkie I recently tried was much better than I expected. I don't especially like raw Twinkies, but the filling melts when you cook them, so instead of cold cake with too-sweet goo in the middle, you just have very moist, warm cake with a crunchy coating.
The fried Snickers or Mounds bar is also very tasty. Not unlike molten chocolate cake. I never tried the Oreo, but I'd like to.
There's a place in Chicago called Hot Doug's, and once a week they make their fries in duck fat. They're not fooling around.