Think of a corndog like this.
We've had discussions of sausage on here before. I think we'll all agree that there are some delectable sausages out there, and some gross ones. So, you choose a good one.
Cornbread is an awesome food. It's been around for thousands of years, in some form or other. And, made with good stuff (not even "homemade", just add some scorched peppers of your choice and/or some cheese to Jiffy), it tastes pretty good. Just, for the love of all that is good eats, don't overcook it, or you'll have cornbread powder that no amount of liquid can wash down.
As for frying, when done properly, frying imparts less fat and calories than baking with butter in a cast-iron skillet (the recommended method). Just make sure to cool on a rack and not paper towels.
http://www.foodnetwork.com/recipes/alto ... ecipe.html