1. Simmer water, butter, sugar, and salt in a saucepan until the butter melts. Remove from heat and stir in the flour until a smooth dough forms. Allow to cool slightly.
2. Once the dough has cooled about 5 minutes, beat in the eggs one at a time until the dough is thick and glossy.
3. In a separate bowl, beat cream cheese with powdered sugar until fluffy. Fold in cookie dough pieces. Chill for at least 30 minutes.
4. Heat oil in a deep pot to 350°F. Use a piping bag to pipe 4-inch lengths of churro dough into the hot oil. Fry each churro for 2-3 minutes per side until golden brown. Drain on paper towels.
5. Make a small hole in one end of each churro and pipe in the chilled filling.
6. Roll the filled churros in cinnamon sugar and drizzle with chocolate sauce before serving.