Stuffed French Toast

This is how I make it (citrus custard completely optional): http://www.food52.com/recipes/15690_melty_chocolatestuffed_french_toast_with_citrus_custard

Try using a challah bread which is nice and sturdy, almost designed for French toast.

As for how, stuff, lay in baking pan, pour over egg/milk mixture. Let it soak in (maybe even leave in fridge overnight), then bake instead of pan frying it. Whole Foods makes stuffed French toast this way.

If you haven't tried it already, I'd suggest buying bread that hasn't been pre-sliced so you can determine the thickness - with thicker sides & edges you have more of a support structure.

Use a pairing knife to cut a 1/2 - 1" slit in the side, then work it towards the edges (but not all the way through) to make your pocket. If using a puree or paste, like nutella, a piping bag will make it easier to fill (either a real bag or one made out of a ziploc baggie).

Enriched bread, such as brioche or pannetone, will probably hold the filling a bit better too versus a lean bread with lots of air pockets.

Like a grilled cheese, you'll want to cook it quite slow to not burn the outsides while the heat makes its way to the centre of the filling - particularly relevant if you're trying to melt cheese.

I cheat...I use two slices of bread with the filling ( l mix cream cheese and cinnamon sugar, and then add fresh fruit) inside. Then I dip the whole thing in the egg mixture, and use my panini grill to cook them so I don't have to worry about trying to flip. Just be careful not to squeeze the panini grill too much, or you can squeeze all the stuffing right out!