Mix mayo or aioli with chili powder, cilantro and lime zest. Set Aside.
Crumble feta cheese and lay it out on a plate.
Prepare hot grill or grill pan or broiler. Grill corn rolling until golden brown and slightly charred about 10 minutes.
Remove hot corn, brush on the mayo mixture and dip in feta cheese. Cut off the cob and serve immediately with lime wedges for sprinkling. Great steaming hot or even cold the next day.