Though not exclusively a speciality of Madrid, churros probably were invented in the Spanish capital. There is no outdoor festival without a churro seller or a street without a churro stand or a strolling vendor with a basket on his arm.

These fried delights, a kind of thin ridged doughnut shaped like a buckle, are also called porras when they're thicker and straight, bunuelos if they're wreath or bowl shaped. There is also a bakery version that is much richer, called chocolate churros.

A churrera, a kind of large tin or brass syringe, is fitted with numerous holes and handles to hold on to in order to press out the batter. The batter is pressed out in buckle or wreath shapes into hot oil. Once they are fried, the churros are drained and sprinkled with sugar.

1. Place the water, butter and salt in a saucepan with the orange zests and bring to a boil;
2. in another saucepan, place the flour and cocoa powder;
3. pour the hot liquid mixture on top; beat vigorously over low heat with a wooden spoon for one minute until the mixture forms a ball; let cool for one minute; 
4. in a small bowl, beat the eggs with the vanilla, mix into the batter;
5. heat the oil in a deep frying pan; 
6. place the batter into a pastry bag and pipe out strips of dough directly into the hot oil; cook for 2 minutes on each side, until browned; 
7. remove and continue until all the churros are cooked; place the cooked churros on a paper towel-lined cookie sheet and keep warm in a low oven;
8. combine the sugar and cinnamon in a bag; place the churros inside and shake to coat them well; best served hot.