Heat 1-2 inches vegetable oil in a deep skillet over medium high heat.
In a separate large saucepan, heat water, butter, sugar, and salt. Bring to a boil and then reduce heat to low.
Stir in the flour and stir constantly until combined and mostly smooth. Turn off heat.
Pour flour mixture into a stand mixer and allow to sit/cool for 2-3 minutes.
Add egg and vanilla and mix on high until smooth.
Transfer mixture to a piping bag with a star tip.
Add cinnamon and sugar to a shallow bowl and stir to combine. Set aside.
Once the oil heats to 375F (use a candy thermometer), you're ready to pipe the mixture in to make the churros!
Carefully pipe a 5-6 inch length into the oil, using a sharp knife or scissors to cut off from the star tip.
Allow to fry 2-3 minutes per side, or until golden brown. Transfer to a paper towel lined plate.
Allow to dry for about 1 minute, then roll in the cinnamon/sugar mixture.
Repeat with the rest of the dough, frying 3 at a time.