I stayed at the hotel next door to this bakery this past June. I heard the bakery was really good so I had to stop by to try something. One of the things I tried was a deep fried, sugar-coated, custard-filled pastry called a Xu Xu.
It was rich and really good! One thing I really liked was that the custard wasn't too sweet. Also the sugar gave it a nice crunch. Yum! It's a little oily since it's fried, but definitely worth a try! I went back a couple more times during my stay there. :)