Hot and heavy Shanghainese sticky rice rolls, also known as ci fan, make for a heavy snack. They consist of starch (sticky/glutinous rice) wrapped around starch (yau ja gwai, or fried dough stick) with a scant amount of protein (pork floss) and chopped zha cai (Sichuan pickled mustard root). The roll is wrapped tightly in cling film as anything else would stick to it; the plastic also helps to keep it warm. Ci fan taste best when they're freshly made and hot, so the fried dough is still crisp and the rice soft. If you want to share one (half is usually enough for me), use a damp knife, so the blade won't stick to the rice, and cut it through the plastic. They're not difficult to make: use damp hands (again, to prevent sticking) to spread the rice on the cling film. To make them more flavourful, increase the amount of pork floss and pickled vegetable fillings.
Shops selling ci fan usually carry another Shanghainese speciality, fresh soy milk, which makes for a delicious accompaniment.