Let the goat cheese come to room temp. Mix into it the lemon juice, dill, salt & pepper (to taste), and I like to dice my jalapenos up fine (I use the ones out of a jar so I let them dry on some paper towels) and mix that in well.
Now, dab a touch of oil on your hands if it seems sticky to you, and grab enough to make little balls in your hand and place them on a plate. Don't let them touch each other. When you have all your balls rolled, you can make however many or little as you want, place the plate back in the fridge and let chill back to hardness, about an hour.
Make yourself an egg wash with the egg and a touch of milk and in a separate bowl have your panko ready. Bring your balls out of the fridge (NO SNICKERING) and roll them into the egg wash and then into the panko. Set them to the side until you have all your balls done.
I use a deep fryer but you can do this in a pan as long as you have enough oil to cover them all up. Get your oil fry hot (350 or more) and carefully place your balls into the hot oil. (No snickering I really am not trying to be funny) I only do them 3-4 at a time so they have room. Keep an eye on them as it really only takes 2-3min to complete. Once they are nice and golden brown, bring them out and let them rest on paper towels or a rack (I have had them fall apart on a rack so be careful)
When they are all done I eat them as they are because they are soo good. But if you want you can take some sour cream, toss some dill and lemon juice in that and a touch of mayo and dip them in that, or maybe even some ranch but I like the goat cheese as is. ENJOY!