A year ago (or so) my husband bought me a corn dog maker for about $20 at Shopko. I still see these around and highly recommend them. They look like waffle makers with six depressions to make the corn dogs. They are not big enough for a whole hot dog but if you buy the bun size hot dogs and cut them in half - it's about perfect. I have bought regular sized dogs and cut off the excess and then used the little pieces in a corn dog and it worked out fine.
I have noticed that pretty much any corn bread recipe will work. We use the recipe that I shared in an October 2009 post (I'm not savvy enough to know how to link that to here).
You start with oiling the compartments and putting a spoonful of corn bread batter in. You can spread the batter evenly or press a hot dog into the batter to spread it. Top with a little more batter and close the machine. After about 5-6 minutes the corn dogs are cooked. It does take some trial and error to get it right but they are a great treat.
I have even put cake batter in the maker and made a version of "Twinkies". I sliced a line down the cakes and put vanilla frosting in the center and then frosted the top over the split. They tasted great but Chocolate versions get a lot of jokes which made me really not want to do that again.