Preheat oven to 400 degrees. Rinse chicken, and pat dry. Season generously with salt and pepper.
In a small bowl, whisk egg with 1 tablespoon water. In a large bowl, mix cornflakes with oil, cayenne, and 1 teaspoon salt.
Working with one piece at a time, dip chicken in egg mixture, then coat with seasoned cornflakes, pressing flakes to help them adhere. Transfer coated pieces to a rimmed baking sheet.
Bake until golden brown and crisp, about 30 minutes. Sprinkle with salt and pepper before serving.