Simply make a regular batch of pizza dough (see my post on Angelina's pizza casereccia for the recipe) or buy some pizza dough at your local Italian deli.

Grabbing a walnut-sized ball of dough, make a well in the middle of the ball with your finger and place a single anchovy fillet inside. Then bring the sides around the fillet to cover the well and form a nice ball. You may need to roll the dough around in your hands a bit to make sure the opening is well sealed. Continue in the same fashion with the rest of the dough.

Now fry them gently in olive oil, or a mix of olive and canola oil, until they are nice and golden brown on all sides. It will take no longer than five minutes or so. Regulate the temperature so they do not brown too quickly, before the insides have a chance to cook. They will swell up as they fry, which is exactly what you want. Drain them on paper towels or on a rack.

Zeppole are really best eaten right away, but you can keep them warm in a slow oven, on a baking rack placed over a cookie sheet, or even reheat them later. They will lose a bit of their crispiness but none of their goodness.