Voted "Best Sonoran Dogs" in Phoenix New Times Best of Phoenix, El Caprichoso Hot Dogs serves up delicious Sonoran-style dogs wrapped with bacon on steamy grilled buns and served with, beans, cotija cheese, guacamole, ketchup, salsa, grilled onions, and grilled peppers. Plain hot dogs are also available. Grab a cold Mexican Coca Cola, Jarritos, flavored water (agua sabor), or champurrado (Mexican Hot Chocolate). Find us at the corner of 19th Ave and Roosevelt St. in Phoenix.