In a large mixing bowl, combine warm water, sugar, and yeast. Let it sit for 5 minutes until it becomes frothy.
Add flour and salt to the yeast mixture. Mix until a dough forms.
Knead the dough on a floured surface for about 5 minutes until smooth and elastic.
Fold in the shredded cheddar cheese and diced jalapeños until evenly distributed.
Preheat your oven to 450°F (230°C). Line a baking sheet with parchment paper.
In a large saucepan, bring 9 cups of water and ½ cup of baking soda to a boil.
Divide the dough into 8 equal pieces. Roll each piece into a rope and shape into a pretzel.
Using a slotted spoon, dip each pretzel into the boiling baking soda bath for 30 seconds. Place them on the prepared baking sheet.
Brush each pretzel with the beaten egg and sprinkle with additional shredded cheddar cheese.
Bake in the preheated oven for 12-15 minutes, or until golden brown.
Let cool slightly before serving. Enjoy!