When you're in Wisconsin and you see deep-fried cheese curds on the menu... well you must order them. And while you're at it you'd better have the bratwurst with sauerkraut (served with both raw and fried onions and a real cherry Coke). That's my brother B2's thumb; isn't he cute?
I remember eating fresh cheese curds at the EAA fly-in in Oshkosh every year as a child. I was especially fond of their squeak. Indeed the Wikipedia article on cheese curds (well worth reading) (if you're not that busy) quotes the NY Times as describing the characteristic squeak sounding like "balloons trying to neck". Deep-fried cheese curds -- which are also mentioned in Wikipedia (are you surprised?) -- lack the squeak but have the advantage of being battered and deep-fried which, as we all know, improves everything.