To get the corn and jalapeño ready, brush them on all sides with the olive oil (or spray them if you're using an olive oil spray.) Use tongs to place the ears of corn and the pepper directly on the grill grates.
Turn the corn and the pepper every few minutes to help them cook and char on all sides: the jalapeño will be done in 10 minutes or less, and the corn will be cooked through in about 15-20 minutes. Remove the corn and pepper from the heat and let them cool enough to handle.
Make the cheese sauce:
Melt the butter in a medium saucepan over medium heat. Once it is melted and bubbling, stir in the flour. Stir the roux constantly for about 1 minute until it is thick and all of the flour is absorbed. Pour in the milk and stir to combine it with the roux. Increase the heat just a little and heat the milk, stirring it often to be sure it isn't coating the bottom, until it comes to a steady simmer. It should be thickening as well - remove the pan from the heat at this point.
Add all of the shredded Monterey Jack and shredded Cheddar. Stir the cheeses into the milk until they have completely melted into a smooth cheese sauce - or queso! Once the queso is smooth, stir in the sour cream, salt, and cayenne pepper. Hold the pan aside.
Slice open the grilled jalapeño and scoop out the seeds. Dice the pepper and add it to the queso.
Hold an ear of the grilled corn up on the flat end on a cutting board and use a sharp knife to slice off the kernels, slicing from the tip down to the bottom. Slice down all sides of the cob until all of the corn is removed. Repeat these steps with the other cobs.
Add the kernels to the queso and stir to evenly distribute the corn and jalapeño.
Transfer the queso to a bowl and serve it while it's warm with tortilla chips or fresh veggies. Makes about 4 cups of queso.