Preheat oven to 400. Place corn on a baking sheet and roast in the oven, turning once, for 8 minutes. At the end of cooking, turn on the broiler (making sure the corn is about 8 inches from the heat), in order to get some color on the corn. Watch it closely so it doesn’t burn, and turn a few times for even cooking.
In a small bowl, combine the mayo, lime zest, feta, chili powder, salt and some black pepper.
As soon as the corn comes out, spread the mixture around the cob. Serve warm with lime wedges.