We seem to be making these for our Sunday breakfast every week:
Baked cake donuts
You have been warned. Though, being baked, they aren't anywhere near as bad for you, but taste awesome. So far I've done powdered sugar, cinnamon sugar, maple glazed, and chocolate glazed. Also did a batch of chocolate donuts with chocolate glaze -- much recommended.
I feel I should add to this story -- a few days before Christmas, my husband and I were out shopping and passed by a display of bakeware. I commented how I wanted to get a donut pan to use with a recipe I'd found.
Christmas day comes and I go into the kitchen to start the oven for the ham, and my husband suggests I have a look in there first. So I did, and there is a wrapped gift -- a donut pan. Apparently Santa ordered it and had it sent overnight, just so he could wrap it and put it in the oven for me to find. :P