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In a small bowl, stir together ground coffee, brown sugar, paprika, 1 1/2 teaspoons black pepper, 1 teaspoon kosher salt and thyme; set aside.
In another small bowl, combine ketchup, horseradish and Worcestershire sauce. Season to taste with hot pepper sauce; set aside.
In a small skillet, heat oil over medium heat. Add shallots; cook for 3 to 4 minutes or until lightly browned and crisp, stirring frequently. Using a slotted spoon, remove shallots and drain on paper towels. Sprinkle with the remaining salt and black pepper.
Shape ground beef into four 1/2-inch-thick patties. Generously coat both sides of patties with spice mixture, pressing into meat to adhere.
For a charcoal or gas grill, place patties on the rack of a covered grill directly over medium heat. Grill for 10 to 13 minutes or until done (160°F), turning once halfway through grilling and adding cheese slices to patties for the last 1 minute of grilling. To serve, arrange lettuce and pickle slices on bottoms of rolls; add burgers. Top with fried shallots and ketchup mixture. Replace tops of rolls.