Break candy bar into 4 pieces. Using a serrated knife, cut a large pocket in each bread slice, cutting through one of the long crust sides almost to the other side. Place 1 piece of the chocolate and 6 of the marshmallows in each pocket.
In a shallow bowl beat together eggs, milk, and sugar. Place finely crushed graham crackers in another shallow bowl. Carefully dip stuffed bread slices into egg mixture about 10 seconds on each side. Dip bread slices into graham crackers, coating both sides of each bread slice.
Place a 12-inch cast-iron skillet or griddle on the grill rack directly over medium-hot heat. Add oil; heat for 2 to 3 minutes or until hot. Add coated bread slices. Grill for 2 to 3 minutes on each side or until brown. Makes 4 servings.