Preheat oven to 400 degrees F. Spread wings out over two large baking sheets, avoiding overlap (or else the wings will steam, rather than crisp up!). Season well with salt and pepper; bake about 40 minutes, until golden brown and cooked through.
Melt butter over medium heat. Add hot sauce and cayenne, if desired (taste first, then add cayenne to your heat preference).
Transfer wings to a large bowl and toss with sauce.
To make dip, simply whisk together all ingredients. Leftover dip may be refrigerated for two weeks.