Make dressing: In a bowl whisk together mayonnaise and yogurt and stir in blue cheese (dressing will not be smooth). Dressing may be made 8 hours ahead and chilled, covered Cut celery into thin sticks. Soak celery in a bowl of ice and cold water at least 30 minutes and up to 1 hour.
Cut off chicken wing tips, reserving for another use, and halve chicken wings at joint.
To grill wings: Preheat grill.
Pat wings dry. In a bowl rub 2 tablespoons oil onto wings and season with salt. Grill wings on an oiled rack set 5 to 6 inches over glowing coals until cooked through and golden brown, 8 to 10 minutes on each side.
To deep-fry wings: In a large (5- to 6-quart) deep heavy kettle heat 6 cups oil until a deep-fat thermometer registers 380° F. Just before oil reaches 380°F, pat dry 6 or 7 wings. Carefully lower wings into oil and fry, stirring occasionally, until cooked through, golden, and crisp, 5 to 8 minutes. With a slotted spoon transfer wings to paper towels to drain. Pat dry and fry remaining wings in same manner, returning oil to 380°F between batches.
In a large skillet melt butter over moderately low heat and stir in hot sauce, vinegar, and salt to taste. Add grilled or fried wings and toss to coat.
Serve chicken wings warm or at room temperature with dressing and celery sticks.