Start with the dough: In a saucepan, combine water, butter, and sugar. Bring to a boil, then remove from heat and stir in flour, cocoa powder, and salt. Cook over low heat, stirring constantly, until the dough thickens and pulls away from the sides of the pan.

Let it cool: Transfer the dough to a mixing bowl and let cool slightly. Stir in the egg and vanilla extract until thoroughly combined.

Time to pipe: Fill a piping bag fitted with a star tip with the dough. In a large pot or deep fryer, heat the vegetable oil to 375°F (190°C). Pipe churros about 4 inches long into the hot oil, working in batches.

Fry to golden perfection: Fry until golden brown and cooked through, about 2-3 minutes per batch. Drain on paper towels.

Chocolatey coating: Combine sugar, cocoa powder, and cinnamon in a shallow bowl. While the churros are still warm, toss them in the mixture to coat.