Five More Cold Weather Oklahoma Eats When it comes to the favorite foods in Oklahoma, most of them revolve around a grill. Whether it's steak, burgers, dogs, BBQ, beer can chicken, etc... If it can be grilled, it will be an instant favorite across all palates in this state. But what do Okies survive on when it's cold enough to require the wearing of long-pants and a hoodie? Here's the quick list of things every Oklahoma home should be cooking when these cold days linger. 1 Grilled Cheese I don't know about you, but I love sandwiches. They're the best. Delicious, storable, and all around a good snack that travels well. But when it's cold outside, nobody really wants to chow down on a crisp and cold sandwich. It's understandable. But if you take just about any sandwich and toss it in a skillet with some butter, that becomes a rare cold day epic dish that's both easy to make and easy to mess up.