Make any old yeasted dough (or go the Pillsbury route, who am I to judge). Roll out into a rectangle and brush with melted butter.
Make the filling: toast some pecans (ALWAYS toast) and chop finely. Drench with melted butter and a generous glug of bourbon. Add a splash of vanilla and a few spoonfuls of brown sugar.
Smear the filling on the dough, leaving a 1-inch border around the edges. Roll dough into a log along the long axis and slice every few inches.
Place slices cut-side down in a baking dish. Bake until puffy and slightly browned on top. Sprinkle with more pecans and drown in a glaze of milk and powdered sugar (whisked separately)