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1
Bring milk, butter, salt, and zest to a boil in a 2-quart heavy saucepan over high heat, stirring just until butter is melted, then reduce heat to moderate.
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2
Add flour all at once, stirring vigorously with a wooden spoon until mixture is smooth and pulls away from side of pan, 1 to 2 minutes.
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3
Remove from heat and cool slightly, 1 to 2 minutes.
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4
Add eggs 1 at a time, stirring vigorously after each addition until smooth.
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5
Heat 2 inches of oil in a 4-quart deep heavy pot (preferably a cast-iron Dutch oven) over moderately high heat until thermometer registers 360F.
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6
Sift together sugar and cinnamon into a bowl.
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7
While oil is heating, roll rounded tablespoons of dough into balls with dampened hands and put them on an oiled sheet of plastic wrap.
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8
Pick up a ball and make a hole in the middle with your thumb, then insert the handle of a wooden spoon in the hole.
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9
When oil reaches 360F, carefully lower dough on handle into oil, then gently widen hole with a circular motion of spoon until dough rises to surface, about 30 seconds (don't worry if some break open).
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10
Remove spoon, leaving bunuelo cooking in oil, and repeat with 4 more balls.
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11
Fry, turning occasionally, until deep golden and cooked through, 6 to 7 minutes.
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12
Drain briefly on paper towels.
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13
Turn warm bunuelos in sugar mixture to coat.
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14
Form and fry more bunuelos, in batches of 5, in same manner.
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15
Available in Italian markets, specialty foods shops, and at Dean & DeLuca (877-826-9246).
