Preheat the oven to 250 C / Gas 9, or to as high as it will go and allow to heat up for at least 10 minutes. Pour the oil into a baking tin and place in the oven to heat up.
In the meantime, place the flour and salt into a mixing bowl. Make a well in the centre and add the eggs, pepper and horseradish if using. Stir and then beat, adding the milk a little at a time, until the mixture is smooth.
Cut the sausages into quarters (they can be left whole if you prefer). Once the oil is very hot remove the tin from the oven, and add the quartered sausages. Turn the heat down to 200 C / Gas 6.
Bake the sausages in the preheated oven for two minutes. Remove from the oven and pour in the batter.
Bake in the preheated oven for a further 25 minutes or until risen and golden brown. Remove from the oven and serve.
If you're not that keen on horseradish (I love it and always grow enough to make my own sauce) try replacing it with a teaspoon of English mustard.