Place water, unsalted butter, sugar, cinnamon, nutmeg, and salt into a large saucepan and bring to a boil over medium-high heat.
Next, reduce heat to medium-low and stir in the flour with a rubber spatula or wooden spoon. Stir constantly until the mixture comes together and is shiny and smooth, with no lumps (a few tiny lumps are ok).
Transfer the mixture to a large mixing bowl, and let it cool for 5 minutes.
Using a hand electric mixer, whisk in vanilla extract and the egg into the flour mixture until fully combined and smooth. The mixture may start to separate, keep mixing until its combined.
Transfer the mixture to a piping bag fitted with 1/2 inch star tip, WiltonM1 works great.
Fry the Churros:
Heat about 1 1/2-2 inches of vegetable oil in a large pot or deep cast-iron skillet over medium-high. The oil should reach 360 degrees Fahrenheit, use a candy thermometer to check the temperature.
Carefully pipe the mixture into the preheated oil, pressing about 6-inch lengths of churros and cutting the end with clean kitchen scissors. Do not overcrowd the pan.
Fry until golden brown, about 2 minutes per side.
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