Bagna what? We found this recipe nosing around Epicurious. It's an anchovy fondue-style dip from the Piedmont region of Italy.
According to Wikipedia, bagna cauda means "hot sauce" and is typically eaten in the fall or winter. We're one of those odd ducks that adores anchovies -- all canned fish, really -- so the recipe was irresistible, despite the heat.
You dice up a few garlic cloves and crack open a tin of anchovies. Drain the oil (or do what we did and pour it on your dogs' dinner; they'll love you forever). Pat down the anchovies with a paper towel to dry them off a bit.
Then you blend the olive oil, butter, diced garlic and anchovies until smooth. Heat the dip in a saucepan on the stove.
Now comes the fun part, where you bust out the neglected fondue pot some distant relative gave you years ago. Rather than using a heavy-duty can of Sterno, since the dip was hot already from the stove, we used a tea light instead and that seemed to work fine.
You can use any kind of vegetable you like. We tried cherry tomatoes sliced in half but they tasted slightly slimy in the oil dip. Mushrooms work especially well and cook slightly in the oil. Celery would be excellent, onions too.