In the bowl of a stand mixer fitted with the dough hook, combine the flour, yeast, and sugar and mix on low speed until evenly distributed. With the mixer running, drizzle in the canola oil and then the lukewarm water in a steady thin stream. When the dough comes together, add the salt and continue to knead on medium-low for at least 10 minutes, until the dough is smooth and elastic.

Lightly oil a large bowl, transfer the dough to the bowl, cover with plastic wrap or a kitchen towel, and let rise at room temperature until doubled in volume, about 1 hour.

Turn the risen dough out onto a lightly floured surface and divide into 4 equal portions. Keep the portions you are not working with covered to prevent drying. Decide how many strands you want for each challah; the steps below describe a 4-strand filled challah.

Working with one portion at a time, divide that portion into 4 equal pieces. Roll each piece into a rectangle roughly 6 by 4 inches (15 by 10 cm). Spread a thin layer of Nutella over each rectangle, sprinkle with chocolate chips or chopped chocolate, then roll each rectangle tightly into a log. Repeat until you have four filled logs for that portion. Braid the four logs into a single challah; repeat the process with the remaining dough portions so you end up with four loaves total.

Place the loaves on baking sheets lined with parchment paper, cover lightly, and let rise until nearly doubled, about 1 hour (longer in a cool kitchen). While loaves are finishing their second rise, preheat the oven to 350°F (175°C), convection if available.

Brush each loaf with the beaten egg, sprinkle with sesame seeds, and bake in the preheated oven for 25 to 30 minutes, until the loaves are deeply golden and sound hollow when tapped on the bottom. If the loaves brown too quickly, tent loosely with foil for the last 10 minutes.

Remove the challot from the oven and transfer to a wire rack to cool for at least 15 minutes before tearing or slicing. Serve warm or at room temperature.