Preheat oven to 200 degrees.
Line a cookie sheet with parchment paper. Align pretzels in a single layer on the paper, then top each pretzel with a Hershey's Hug.
Bake in a pre-heated oven for 4-5 minutes; just until the chocolate is shiny and soft, but not completely melted. Remove from oven and place an M&M on top of each melted chocolate. Press down to spread out the chocolate.
Place in the freezer for about 15 minutes or so, until the chocolate has set. Put in air-tight containers.