it's a hong kong creation - sort of a luxury version of your usual chili sauce made with fresh and dried chilis, 'gong yiu chu' or dried scallops, other dried marine products (shrimp and in some recipes, something known as dried 'sun and moon fish') etc i don't think cognac ever goes into the recipe - the name xo sauce is some cunning marketing ploy to give the product some degree of cache (and probably the best way to do that with local hong kongers who do love their cantonese food with cognac was to slap on the xo label. that said, xo sauce is yummier than the more commonly found fermented bean paste chili sauce because of the dried scallops and other assorted dried sea products thrown in. recipes vary from restaurant to restaurant, although the best xo sauce i've tasted is homemade - my mom's :)
