Mix granulated sugar and ground cinnamon in a shallow bowl or pie dish for the coating and set aside.
Heat heavy cream in a small saucepan until simmering, pour over chopped semi-sweet dark chocolate and ground cinnamon in a heatproof bowl, let sit for 1 minute, and whisk until a smooth dipping sauce forms.
Combine water, unsalted butter, granulated sugar, and salt in a medium saucepan and bring to a rolling boil over medium-high heat.
Reduce heat to low, add all-purpose flour all at once, and stir vigorously with a wooden spoon for about 1 minute until a smooth ball of dough forms that pulls cleanly away from the pan.
Remove the saucepan from heat, stir in vanilla extract, and let the dough cool for 5 minutes before transferring it to a heavy-duty piping bag fitted with a closed star tip.
Heat vegetable oil in a deep skillet or Dutch oven to 360°F (180°C).
Pipe 4-inch to 5-inch strips of dough directly over the hot oil, carefully cutting the ends with kitchen shears. Fry 3 to 4 churros at a time for 3 to 4 minutes, turning occasionally until crisp and deeply golden.
Transfer the fried churros to a paper-towel-lined plate for 30 seconds, immediately roll them in the cinnamon-sugar mixture until coated, and serve hot with the chocolate dipping sauce.
