These are some of my forever favorites I've eaten at a friends', and kept making it at home.
It has everything I love: heat, smoothness, and fat ;), plus they are very easy to make.
They are also rather economical for the fanciness, as jalapenos are usually below $1 a pound, cream cheese in not too expensive either around here, and it doesn't take that much ham to bake enough.
Serrano ham or thinly sliced bacon, but I'd add only half of the regular slice / jalapeno for crunchy results
One jalapeno will make two pieces, obviously, you'll need 1/2 slice of the sliced serrano ham for one piece, and about 1tsp of cream cheese. You do the math.. I'd estimate 1 pound of jalapeno (0.5 kg), one package of thinly sliced ham, and 1 cup of cream cheese is a hood start for a portion.
Preheat the oven to 400 F, 200C.
Cut the jalapenos in half, remove the seeds and the veins, just as much as you want. Now it's the time to adjust the heat level to your audience. If you remove all of it, it will be no spicy at all, if you leave the veins they will give you some surprise as you take a bite :) (I got hiccups once :D), and if you are feeding some real chiliheads, leave some seeds in, too.. I warned you! Only for chiliheads!
Fill the half jalapeno with 1 tsp of cream cheese, and wrap it in half a slice of ham, or bacon. (On the left a plate of jalapenos with bacon..)
Place the filled jalapenos in a tray lined with parchment paper, sprinkle some olive oil if you use ham, but no need for it if you decided to use bacon.
Bake for ~15 minutes, until the ham had shrank and the jalapeno looks darker green, but definitely NOT mushy yet.
If you made them with bacon, you might need few extra minutes to have the bacon crunchy, and also change the oven from bake to broil for just 3-5 extra minutes.
Serve, preferably, while still warm.