Among the comments on that Fried Twinkie story, one guy talks about campfire-roasted Peeps:
On a slightly-related note, my girlfriend and I recently satisfied a bout of the munchies with campfire-roasted Peeps. The sugar coating charred into a crispy, cr�me-brulee-esque glaze, while the marshmallow insides got deliciously gooey. Mmmmm, so yummy.
Figuring that I could emulate his results with household appliances, I nuked a Peep for 12 seconds in the microwave. Ooh, it was so delicious! It was hot and gooey (yet fluffy) on the inside, and the sugar-coating had liquified just slightly. Man, nuked Peeps are, in my estimation, about twice as tasty as “normal” Peeps! And, yes, I can understand your hesitation since normal Peeps are so tasty to begin with — but just trust me on this one :).