hot dog (n.)

also hotdog, "sausage on a split roll," c. 1890, American English, from hot (adj.) + dog (n.). Many early references are in college student publications; later popularized, but probably not coined, by cartoonist T.A. "Tad" Dorgan (1877-1929). It is said in early explanations to echo a suspicion (occasionally justified) that sausages contained dog meat.

Meaning "someone particularly skilled or excellent" (with overtones of showing off) is from 1896. Connection between the two senses, if any, is unclear. Hot dog! as an exclamation of approval was in use by 1906.
hot-dog, n. 1. One very proficient in certain things. 2. A hot sausage. 3. A hard student. 4. A conceited person. ["College Words and Phrases," in "Dialect Notes," 1900]
Related: Hot-dogger; hot-dogging.