Of course, many many times. I worked at an A&W restaurant as a teenager and we sold thousands of chili cheese dogs, and I ate my fair share along the way. In addition, whenever my parents took us to a Dairy Queen I always made them get me a footlong hot dog with cheese. I believe they use Cheeze Whiz on their dogs, or something comparable. At A&W we would put half slices of American cheese on the dogs, then place them in a steamer machine that would burst the whole hotdog with steam, warming the bun and melting the cheese.
Personally, I'm a diehard fan of kraut dogs, especially with some mustard on top - but I wouldn't turn down a hot dog with cheese either though. You can also play around with different types of hot dogs and cheeses. For example, melted "pub cheese" is great over hot dogs too.