I was going to post this at SparkRecipes, but that's a healthy recipes site. Here's the nasty details.

Buy a long baguette, preferably day-old. You can also use a "boule" style short baguette, but you'll need tongs to turn the bread while it fries. Same goes for other types of rolls. Also, "harder" rolls are better than softer ones.

Don't use a seeded bun, because the seeds will scorch.

Heat up a wok with an inch or so of oil. Woks are better for this because of the shape of the pan.

When it's hot enough so the tip of the baguette sizzles a lot when it touches the oil, it's ready for frying.

You're going to fry only half the bread. The other half of the bread is the "handle".

Take the baguette and push it into the oil. Use the "shovel" spatula thing to scoop hot oil over the bread. Turn the bread to fry all sides (but only half the loaf). Do this for around 30 seconds to a minute. The crust will become crisp and golden brown.

Drain on paper towels. Then cut it in half, and split it lengthwise. Stuff with sandwich things, particularly anything that tastes like a sweet pickle, or anything crisp like lettuce. Go easy on the mayo and oil, because it'll compete with the oil in the bread. Enjoy.

The only caveat is that the oil must be hot. If it's not, the oil will soak the bread like a sponge. If it's hot enough, the water in the bread will "boil" or vaporize and the expansion of gas will push outward on the oil, preventing it from getting too greasy, and allow a crust to develop.