Line a baking sheet with parchment paper and set aside.
In a small pot, combine the water, butter, sugar, and salt and bring to a gentle simmer.
Turn the heat off and stir in the flour until the mixture turns into a soft ball. You should see a thin film still on the bottom of the pot.
Let the mixture cool for about 5 minutes.
Transfer it to a mixing bowl or the bowl of your stand mixer with the paddle attachment and add the eggs.
Mix the dough at medium speed with an electric hand mixer or stand mixer for 1-2 minutes or until it has thickened slightly and the dough looks smooth and shiny.
Transfer the dough to a piping bag or resealable bag fitted with a large open star tip (I use a Wilton 1M) and pipe the dough into 4-inch sticks onto the parchment-lined baking sheet.
Freeze for at least 1 hour (up to overnight) until the dough is solid.
While the dough freezes, mix the cinnamon and sugar for the topping and dump it onto a small tray or plate.
Once the dough is solid, preheat the air fryer, and working in batches of 5-6, place the frozen churros into the basket of the air fryer about ½ an inch apart.
Spray with cooking spray or brush with a very light coat of oil and cook at 375°F for 10-12 minutes or until the ridges are browned and the dough is cooked through.
Immediately transfer to the cinnamon and sugar mixture and toss until well coated.
Serve warm with chocolate or caramel sauce if desired.