Empanadas are delicious whether baked or fried. The dough will definitely have a different taste and texture if fried instead of baked. Personally, I think that fried empanadas taste the best. The empanada dough puffs up and is light, crispy, and flaky. Absolutely delicious! However, baked empanadas are also good, and healthier. If you choose to bake the empanadas, expect the dough to be thin and crispy instead of light and airy. Baked empanadas should be brushed with an egg wash so that they have a beautiful golden color.