Where To Eat Hot Dogs In NYC? Plentiful, relatively cheap, and easy to eat as you jaywalk or wait for a bus, hot dogs are an essential part of New York City cuisine. And Chicago Dogs are officially part of New York City’s hot dog ecosystem, and the ones at Dog Day Afternoon in Windsor Terrace are some of the best. This kitschy little shop keeps a Vienna Beef diagram next to the register, so you can cross-check your dog and make sure it matches up. The poppyseed bun is especially soft and flavorful, and the combination of a Chicago dog with an orange whip on the sidewalk outside the restaurant is one of our favorite meals on a warm day.