Preheat oven to 400ºF. Rub potatoes with a little oil and season skins with salt and pepper. Roast about 40 minutes until just tender when poked with tines of a fork. Remove potatoes and cool.
When potatoes have cooled enough to handle, halve potatoes lengthwise. Scoop out the flesh, season with salt and pepper, and mash with sour cream, butter, cheese, horseradish and chives. Fill potato skins with mashed potatoes and wrap each potato entirely in bacon, overlapping slices a little as you wrap around the skins. Arrange on baking rack over baking sheet and roast until bacon crispy, 15-20 minutes.