Fried in a skillet is awfully good. I'm not to picky as long as they are of good quality. Fried and wrapped in a piece of fried bologna on white bread with mayo is certainly one of my favorites.
But the best way is with a bunch of kids, family or friends over a campfire out in the woods near a sweet smelling creek with the buns toasted a little dark. Mayo, mustard , some sweet pickles or pile some Slawsa on there. The combination of the environment, campfire, friends and the toasty dog and bun are just great.