Brush corn with butter, and season with salt and pepper. Grill, turning every 2 to 3 minutes, until tender and slightly charred, 10 to 12 minutes; let cool 2 to 3 minutes. If cooking in the microwave, cook on high 4 minutes then peel corn and brush with butter and salt and pepper.
Brush corn with mayonnaise, and roll in cheese to coat. Sprinkle with cayenne or chili powder; serve with lime wedges.