Mario Batali's recipe for fried zeppoles calls for making a dough of flour and polenta and after chilling the dough, cutting it into circles before frying in hot oil. According to preference, roll them in sugar or dip them in a chocolate sauce, and then serve them up to four hours after frying.
To make the dough, cream 5 tablespoons unsalted butter and 1/3 cup of sugar. Beat in 4 eggs, and after scraping the bowl, stir in 1 tablespoon of vanilla extract and 2 tablespoons of milk. Combine 1 2/3 cup of all-purpose flour, 1/2 cup plus 2 tablespoons of instant polenta, 2 tablespoons of baking powder and 3/4 teaspoon of salt, and beat it fully into the wet ingredients until it is sticky and soft.
Coat the dough with flour, and wrap it in plastic before chilling it for about eight hours. When the dough is firm, roll it out to 3/4 inch thickness, using plenty of flour to prevent sticking. Cut the zeppole dough into circles, and chill it again in single layers on a baking sheet for about 30 minutes. Fry small batches of the zeppoles in 340 degree Fahrenheit oil until golden brown on both sides. Place cooked zeppoles on paper towels to drain, and roll them in sugar while still hot.