Deep-Fried Mars Bars are battered and fried chocolate bars.
The chocolate bars used are Mars Bars — caramel and nougat covered in chocolate. The batter used is the same batter as is used for fish and chips. The caramel and chocolate melts; the batter holds it together.
The fat used for the deep-frying is usually beef dripping (aka beef tallow.)
The bars are often chilled first, though not frozen, to help ensure that none of the melting chocolate and caramel leaks out into the fat, which is also used for other foods.
Deep-Fried Mars Bars are served at fast food outlets in Scotland. In 2004, about 1/4 of fish and chip shops in Scotland offered Deep-Fried Mars Bars. The cost (2004) is 70p ($1.38 US), 1 pound ($2.00 US) extra for with chips (aka French fries to North Americans.)
They are also made and sold at a few fast food places at Bondi Beach, Sydney, Australia, and a few other places in Australia.
Three-quarters of purchasers are children. 
Snickers Bars are also used by some in place of Mars Bars.
The beef tallow at fish and chip shops can get very hot, thus sealing the batter quickly. You may not be able to get your oil at home as hot. Consequently, some recommend freezing the bars first if you try this at home.
An average Deep-Fried Mars Bars has 420 calories.
Deep-Fried Mars Bars possibly originated at the Haven Fish Bar (since 2000, the Carron Fish and Chip Bar) on Allardice Street in Stonehaven on the north east coast of Scotland. Reputedly, a customer named Brian MacDonald asked the Haven as an experiment to batter and fry him a Mars bar. They refused at first, but then gave in. 
They were first mentioned in print, it appears, in the Scottish “Daily Record” in 1995: “Mars supper, please”. 24 August 1995.
Research on the food item was done in 2004 by two Glaswegian doctors, David Morrison and Mark Petticrew, who reported their findings in The Lancet, a British medial journal. They thought it was an urban myth.
Literature & Lore
“There is something irresistible about food that has been dipped in batter and plunged into a bath of boiling oil. This must be why the Scots (according to legend) love to deep-fry Mars bars. And why this variant of the good old “fritter” is being ordered by the world’s athletes at the Commonwealth Games dining hall. There has been a “steady stream”, reports say, of requests for deep-fried confectionery….. [In my experiments] the Mars bar …. came closest to something you might conceivably be served as a pudding in a swanky restaurant – on a puddle of custard, dusted with sugar and garnished with a mint leaf. The crisp golden exterior contrasts pleasingly with the super-heated inside, where the nougatine and caramel are transformed into a kind of molten chocolate mousse. It is rather rich. It takes barely a minute to deep-fry a chocolate bar, because oil is a very efficient medium for transferring heat into food….. For most Scots, admittedly, the famous deep-fried Mars bar is a novelty item for tourists. Locals who go to chip shops are more likely to order a slice of pizza to be slung into the fryer.” — Brown, Andrew M. Why deep-fried food is hard to resist. London: Daily Telegraph. 26 July 2014.
BBC News. Deep-fried Mars myth is dispelled. Friday, 17 December 2004. Retrieved November 2008 from http://news.bbc.co.uk/2/hi/uk_news/scotland/4103415.stm.
McColm, Euan. No Haven For The Deep Fried Mars Bar; Birthplace of the battered choccy treat closes down. Glasgow, Scotland: Daily Record. 26 February 2000.
Owen, James. Deep-Fried Candy Bars: Scotland’s Worst Food? National Geographic News. 28 December 2004.
 Morrison, David S. and Mark Petticrew. Deep and crisp and eaten: Scotland’s deep-fried Mars bar. London: The Lancet. Vol. 364, No 9452. Page 2180.
 Heriot-Watt University Waves and Fields Research Group. Edinburgh, Scotland. Retrieved in November 2008 from http://waf.eps.hw.ac.uk/Word%20of%20the%20Week%20pages/SWOW%20archive%20page%205.htm . “To set the record straight its [sic] about time we mentioned the infamous deep fried mars bar…. The practice originates from Brian MacDonald who lives in Stonehaven. One day a conversation with friends led to deep frying certain foods. Brian thought the idea of deep fried chocolate was interesting and he decided to ask the local Fish and Chip shop ‘The Haven’ to cook him up the dish. They initially refused but after enough haggling they eventually gave in and cooked it up. After one bite Brian realised that it was actually quite nice and thus, a legend was born.” It appears, however, that the WAF group were quoting a since reverted entry on Wikipedia by a user named “Moz” at http://en.wikipedia.org/w/index.php?title=Deep-fried_Mars_Bar&oldid=34652046, who asserted at the time that he was the creator’s brother.