RE: Cheese-filled sausages!
I first fell in love with these in Vienna, which became one of my favorite cities by virtue of having a sausage stand on every other corner. Anyway, they're called "kasekreiner" there and, if I recall correctly, are served either on a white bun or a short, hollowed-out hero roll kind of thing which is not cut lengthwise but simply has one end removed. Brown mustard is available, and perhaps other condiments.
Back home in the States, I get Hillshire Farms' CheddarWurst (5/lb) which I like quite well. My treatment is the same, except without the cole slaw. If I have some sauerkraut I'll sometimes throw it on as well.