I love grilled corn. I pull the husks back, take off the "strings", and soak the corn and pulled back husks for about 10 minutes in cool water. Then I close the husks back up as best I can, and put them on a hot grill for about 15 minutes or so, turning so one side doesn't get too blackened.
Delicious!
I've not had it with mayo and cayenne, but people swear by it. I stick with butter, salt and pepper, though sometimes I will cut it off the cob and eat it in a bowl, seasoned.