I just got home from dinner at Masa, and ended the meal with their sublime churros. The chocolate sauce is exquisite, with hints of orange in it, I believe. The churros are piping hot, crisp outside and soft inside, and not at all greasy.
I'm wondering if there is someplace in town that has as good if not better churros. I honestly can't imagine it, but it's possible. The ones I have gotten from Latin bakeries are never hot and you can taste the grease in them.