Soak cherries in brandy for 30 to 60 minutes. Place doughnuts and bagels in a greased 13×9-inch pan. Whisk together eggs, heavy and light cream, cinnamon, chili powder, vanilla, brown sugar, cocoa and salt. Stir in pecans, chocolate, cherries, and brandy. Pour over doughnuts and bagels; let stand 15 minutes. (At this point mixture can be covered and refrigerated up to 24 hours, if desired).
Bake at 350ºF for 45 to 55 minutes, until center of pudding is set.
Vanilla Sauce: Mix sugar, flour, cream and butter in a medium sauce pan. Bring to a boil, stirring constantly over medium high heat. Boil for 2 minutes. Remove from heat; stir in vanilla extract. To serve, pour sauce over each serving of bread pudding.