It depends on how "healthy" you want to make the wings.
First, cut off the tips and discard, then split the drum part of the wing from the flat.
Now, if you want to do "authentic" Buffalo wings, you simply deep fry them until crispy and cooked.
If you want to do it a bit healthier, stick them in a baking tray with some oil, season with salt and pepper, and bake at gas mark 4-5 turning occasionally, until they're crispy and cooked. You can flour them beforehand and refigerate for an hour if you want them breaded. When breading, I throw some onion power, garlic powder, salt, pepper and paprika into the flour mix before coating the wings.
Once they're done, toss them in your favourite wing sauce. Frank's is the staple - tasty as hell but nowhere near hot enough for me. THE best wing sauce I've found is this :
http://www.scorchio.co.uk/original-anchor-buffalo-wing-sauce-suicidal-p-348.html
The tastiest sauce there is, IMO. No need to add extra butter, soaks into the wings fantastically and the burn starts to hit you hard after 2 or 3 wings. Delightful.
Of course, serve with Blue Cheese dressing, which you can make using sour cream, mayonnaise, pepper, and crumbled blue cheese mixed well.
Om nom nom.