Peel back the husks of the corn, leaving in intact, and remove the silk. Using butcher twine, tie the husks together, creating a handle. Spray or brush each ear of corn with olive oil.
In a small bowl, mix together the chili powder and a dash of salt and pepper. Set aside.
Grill the corn for approximately 10 minutes, until nicely browned. Let the husks hang over the side of the grill, and use them as handles to turn the corn while cooking. (Alternatively, you can use tongs)
When ready to serve, cover the corn with the greek yogurt mixture and sprinkle on the chili powder, cheese and cilantro. Serve with lime wedges on the side.