This may have already been posted umpteen times but this is MY way of doing it. I originally got the recipe from a friend of mine on another forum, a guy named Billsfan so I'll give credit where credit is due.
I take Jalapeño peppers and chop the stem end off and cut in half lengthwise, then seed them. I leave a little of the membrane in there (ribs) since that is where the heat is at, not the seeds like people have been lead to believe. I then take 1 package of cream cheese at room temperature and mix in 2 cups of cheddar cheese. Sometimes fresh grated (the best) or usually just a pack of pre shredded cheese. I add 1/2 teaspoon each of paprika and cayenne and mix it all together with gloved hands. I then take the jalapeño halves and fill them with the cheese mixture and wrap each with a half slice of bacon. Stab it with a toothpick for good measure (and to hold the bacon in place). Slap'em on your cooker of choice, I either smoke them on one of my Kegs with some apple wood or one of my pellet poopers at 225° to 235° for about 3 hours until the bacon renders down nicely. Lately I just use my pellet grill so I can stack them on a tray and catch all of the drippings and cook a lot at once.