Preheat the oven to 350 degrees F. Line a baking pan with aluminum foil, and position wire baking rack on top of pan. Lightly coat the rack with the vegetable oil.
Combine the brown sugar and cayenne in a shallow dish, stirring to mix well. Press both sides of each slice of bacon firmly into the spiced sugar to coat well. Arrange the slices of bacon on top of the baking rack in a single layer.
Bake until the bacon is crisp and the sugar is bubbly, 15 to 20 minutes. Use tongs to transfer bacon to another oiled cooling rack to drain remaining grease. Leave whole, break in half, or thread on a wooden skewer and transfer to a plate to crisp. (DO NOT put on paper towels or you'll have bits of paper stuck to the bacon.) Serve warm or at room temperature. This can be made several hours ahead.
Use it in place of regular bacon in just about anything: crumble on soups and salads, use in sandwiches or with breakfast, garnish coctails, or just eat it by itself. It's use is only limited by your imagination. Enjoy!