Unsurprisingly, baked mozzarella sticks are lower in fat and calories yet still crisp and flavorful. Baking is also easier, less messy, and less intrusive (think fine mist of cooking oil and lingering scent throughout the house). That said, frying is kinda spectacular. If you want to hew as closely as possible to the sports-bar and pizza-place classic, this is the way to go.