I think it's important to get bolillos. Most of us in Texas have access to Mexican bakeries and they always have them. But if not you can use the subway roll, or a French roll, but they won't be as good as fresh baked bolillos.
All beef franks - regular size is preferred so you can get a good bacon wrap with one slice
Thin sliced bacon - Mesquite smoked is best
Refried beans (warm in the microwave before assembly starts)
Shredded Monterey Jack (or crumbled queso fresco)
Tomatoes chopped and seeded
(Pico de Gallo is an easy sub for the tomatoes and onion)
Crema or (Sour cream mixed with Tabasco sauce and lemon juice)
Bolillos - 3" longer than your uncooked hot dogs
Additional Condiments: Basically anything you may have ever liked on Mexican or Tex-Mex food is fair game. I have tried and loved chili con carne, that pickled cabbage my sister always seems to have for Gallo Pinto, and pickled peppers and carrots.
Spiral-Wrap one slice of bacon around each hot dog, using a toothpick if necessary to keep it from unraveling (but be damn sure to remove the toothpicks before serving). Grill or broil ( or I've even cooked a few in a non stick skillet) the hot dogs, turning with tongs so that the bacon is browned nicely on all sides, 6-8 minutes. Meanwhile cut a pocket in the rolls forming a boat and toast under a broiler for 4 to 5 minutes, being careful not to burn.
Smear the inside of the bolillo on one side w/ refried beans and on the other side w/ guacamole. Sprinkle with cheese and then put the bacon wrapped hot dog into the bun. Then add the tomatoes and onions (or Pico de Gallo), salsa and top with a drizzle of crema.
The variations of condiments are endless. The more you have to offer your guests the better.