Preheat oven to 350 degrees F (175 degrees C). Lightly grease a medium baking sheet.
In a medium bowl, mix together cream cheese, sharp Cheddar cheese and mayonnaise. Stuff jalapeno halves with the mixture.
Whisk together eggs and milk in a small bowl. Place bread crumbs in a separate small bowl.
Dip each stuffed jalapeno half into the egg and milk mixture, then roll in bread crumbs to coat.
Arrange in a single layer on the prepared baking sheet. Bake in the preheated oven 30 minutes, or until filling is bubbly and lightly browned.
Variation: Add chopped cilantro, cayenne, bacon bits, and chili powder to the stuffing. Dredge the peppers in a mixture of flour, cayenne, paprika, thyme, and garlic powder. Coat with egg, then bread crumbs, then egg again, then bread crumbs again.