I was thinking cream cheese, goat cheese, (smoked or aged?) Gouda, shallots, cilantro. Maybe wrap a few in bacon?
What do you shove inside yours?
That’s too much stuff. Keep it simple.
Cream or goat cheese is a great choice. So’s gouda, but it’s going to get too melty when you wrap them in bacon (which you need to do), and will lose a lot of its charm. Topping them with a few diced shallots may not be a bad idea.
One thing to consider doing is slicing them lengthwise, broiling them with just the bacon, then adding the cheese for the last 5 minutes. It’ll really cut down on the sogginess factor.
Dragon Turds.
Mix equal parts shredded cheese and sausage and stuff into the hollowed out pepper. Wrap in bacon, held with a toothpick. Smoke for 1.5 - 2 hours. Make twice as many as you think you’ll need.
The problem for me is getting the insides of the peppers out easily. Just the cleaning and stuffing ends up taking many times longer than it will take the angry mob to devour them.
A friend makes fabulous grilled stuffed jalapenos. He stuffs them with cheddar and a little chopped bacon, then stuffs a smoked almond in the top. Very very very good, even without the bacon.
I’ve had great success stuffing them with pimento cheese spread (home-made, of course!).
How are you cooking these stuffed jalapenos?
My mom stuffs them with tuna. Very tasty!
Like your belt buckle? 
I’ve been meaning to try and cook some stuffed peppers. I was originally thinking of doing Chili Rellano but wanted something spicier and didn’t care much for frying them. I might give this one a go. Might do a few habaneros too.
Had to stop wearing the Texas belt buckle. Due to a bad case of Dunlap’s, every time I sat down I’d get Amarillo’ed in the belly and Harlingen’ed in the nuts. Now I wear a buckle from Dad’s home state: Kansas. 
What I found works best is a cheap vegetable peeler. Not one of them fancy Y shaped ones, but one that looks like this. Cut the top off the jal, slide that baby in to the hilt, and core it like you’re taking the stem out of a tomato. You can usually get the seeds and the pithy membrane out all in one piece.
I use one of these too. I usually stuff them with Vermont sharp cheddar and crumbled sausage, then top with a piece of bacon.
Oh, and a little secret: take a toothpick or a bamboo skewer and poke a hole in the pointy end of the pepper if you’re going to stuff them with cheese or any meat. This will allow the grease/oil to drip out as they cook, and hot grease won’t squirt out when you take a bite of 'em.
If you’re not familiar with Pioneer Woman, her bacon-wrapped jalapeno poppers are absolutely incredible. Most of her stuff is good.
I am taking them uncooked to a friend’s for a Super Bowl thing and he’s on a 3rd floor walkup with a wood deck so I have to bake/broil them - no grilling.
There will be some vegetarians there which is why only some will have bacon and the reason I was using so many ingredients to act as flavor-bombs.
I am going to use a pastry bag to cram their little cram-holes full of good stuff which is why I’m going with a cream cheese / goat cheese payload.
For cheese-stuffed peppers, try out poblanos instead of jalapenos. I’ve never made them myself but this looks like a good recipe: http://www.ehow.com/how_5301295_make-cheese-stuffed-poblano-peppers.html
They’re a sweeter and imo more flavorful pepper. Not spicy like a jalapeno so they make a delicious alternative.
They’re too big though and usually fried.
I’ve never tried this with jalapeños (mostly due to a lack of jalapeños at hand), but the two traditional stuffings for piquillos are mincemeat and cod (if you use salted cod make sure it’s been desalted well). Newer varieties that have been very succesful: salmon and serrano. In general, the stuffing is minced as finely as possible and mixed with a very thick white sauce for consistency. The filled peppers are either baked or placed inside mason jars with water and the jars boiled closed (so it’s a preserve).