A friend once brought me through the alley next to one of the bakeries on Malchei Yisroel. There was a sliding window and directly behind it was the vat of oil with the donuts bobbing in it. The worker would literally take the donut out of the oil, inject the jelly, sprinkle on the confectioners sugar, and hand it to you. I don't know exactly why (maybe the oil didn't set in yet or something), but those were the airiest, fluffiest, yummiest jelly donuts I'd ever had. We finished them before we even got inside to pay, which is only a few feet away.
I got the same last night by kikar belz.
http://forums.dansdeals.com/index.php?topic=23038
