Heat oven to 375°F. Spray cookie sheet with cooking spray.
In 2-quart heavy saucepan, heat 6 cups water to boiling.
Separate dough into 4 rectangles. Firmly press perforations to seal. Fold each rectangle in half lengthwise to make 4 narrow rectangles. Press each rectangle to 10 inches long. Carefully twist each strip several times. Bring ends together, pinching tightly to seal.
Place bagels, 2 at a time, in boiling water. Boil 30 seconds on each side. Use slotted pancake turner to drain bagels. Place on cookie sheet. Repeat with remaining bagels. Brush each bagel with egg. In small bowl, mix sugar and cinnamon. Sprinkle on bagels.
Bake 20 to 22 minutes or until deep golden brown and baked through.