There are so many variations of Devils on Horseback that we are giving you a couple variations in this recipe. Choose the ingredients that appeal to you. If you like oysters, try their angelic sisters, Angels on Horseback. Variations Goat’s cheese, bleu cheese or cream cheese are excellent substitutes for the smoked almonds. You don’t need to use a lot of cheese…just enough to close the prunes or dates securely. Prosciutto may be substituted for the bacon.