Turn on broiler and prepare broiler pan.
Whisk together the honey, vinegar, chili powder, cayenne, garlic and salt & pepper to taste.
Brush chicken thighs with sauce and place under the broiler.
After 5 minutes, turn over and brush with sauce. Return to oven.
During this time, whisk together mayo, yogurt, cilantro and salt & pepper to taste (about 5 minutes).
Take them out, turn them over and brush with sauce again.
After 1 minute turn and brush the thighs one last time.
Return to oven for 1 minute.
Serve with a dollop of yogurt sauce on the side.