I've posted before that the Royal Bakery on Mission St. (at Russia) makes the best Mexican sweet bread in S.F. They have a very limited selection of Mexican bread, so it's nothing like what you'd find at the panaderias on 24th St. They primarily make conchas and picones, as well as sourdough, etc.
On Saturday morning (at around 9 a.m.) I was surprised to find fresh churros for sale. They were a little bit too bready, but still better than the greasy churros sold at the Flor de ... (I forget the name) on 24th St. They Royal Bakery's churros were not greasy, but they were pricey at $1.25 per churro.
I didn't ask whether they have them everyday or what time they make them.