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Their calzones might not be the very best in the city, but they do "build your own" including some unusual options like bleu cheese, pineapple (weird for a calzone), goat cheese, anchovies, and vegan cheese. The most important thing about the calzones at Sgt. Pepperoni's have nothing to do with the food and everything to do with something crucial and hard to find in the city-they do late night, as they're open until 2:00 a.m. [Sgt. Pepperoni's]