In a bowl, combine warm water, sugar, and yeast. Let it sit for about 5 minutes until frothy.
Add flour and salt to the yeast mixture, and knead until a smooth dough forms. Cover and let it rise in a warm place for about an hour.
Preheat the oven to 425°F (220°C) and line a baking sheet with parchment paper.
Divide the dough into 8 equal portions. Roll each portion into a long rope, about 20 inches in length.
Flatten each rope and spread cream cheese down the center, then sprinkle cheddar cheese on top. Fold the dough over the cheese and seal the edges.
Shape each filled rope into a pretzel and place on the prepared baking sheet.
In a small bowl, mix baking soda with warm water. Brush the pretzels with the mixture and sprinkle coarse salt on top.
Bake the pretzels for 12-15 minutes or until golden brown.
Remove from the oven and brush with beaten egg for a shiny finish.
Serve warm and enjoy the gooey cheese-filled goodness of the pretzels.