Preheat the broiler. Place the wings in a large pot and fill the pot with water to cover by about 2 inches. Bring to a boil, then continue to boil for 10 minutes. Drain.
For the dip:
In a small bowl, stir together the yogurt, mayonnaise, vinegar, and blue cheese. Mash any very large chunks of blue cheese with the back of a spoon to integrate the cheese into the dip. Make the dip up to 3 days in advance and store in an airtight container in the refrigerator. Allow to come to room temperature before serving.
For the wings:
In a small bowl, combine the cayenne pepper sauce, lemon juice, and broth. Reserve.
Transfer the wings to a broiler pan and broil 5-6 inches from the flame, until the skin begins to blister and brown, 5-6 minutes. Turn the wings over and broil 4-5 more minutes more.
Transfer the wings to a baking sheet, drizzle with the reserved sauce and toss well to coat. Place the baking sheet under the broiler for 1 minute to heat the wings and sauce together.
Serve with the extra hot sauce on the side, celery sticks and blue cheese dip.
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