Preheat oven to 400 degrees. Using a knife, make a slit along the entire length of the hot dog, about 3/4 of the way through. Break the cheese slice into 2 pieces and stuff each piece into the slit in the dog. Wrap a slice of bacon around the hot dog in a spiral fashion, then secure all with a toothpick. Place on a foil lined cookie sheet.
Bake for 15 to 20 minutes, or until bacon is crisp and the hot dog is browned. Serve on toasted buns with your favorite toppings.
To grill outdoors: Preheat 1/2 of the grill to medium-high heat. Place the hot dog over indirect heat and grill, rotating the dogs every 4-5 minutes, for about 20 minutes. Some cheese may leak out. (By cooking over indirect heat and constantly turning, you get a crispy piece of bacon that is not raw on the inside.) Serve on toasted buns with your favorite toppings.