Heat the grill to high. Soak corn in cool water for 10 minute, turning occasionally.
Peel back the husks of the corn without removing them completely. Remove as much of the silks as you can. Return the husks to as close to their original place as possible, tying them in place if necessary.
Transfer to grill. Cover; cook, turning often, until husks are charred, 10 minutes. Remove from grill.
Using a kitchen towel, pull back husks. Combine mayonnaise, lime juice, and chili powder; brush onto the partially cooked corn.
Return corn to grill (with husks pulled back and off heat). Cover; cook, turning often and brushing with more chili-lime sauce as needed, until kernels are charred in spots, 10 to 15 minutes.
Remove to a serving plate and dust with finely grated feta cheese. Season with coarse salt and serve with lime wedges on the side.
Recipe Notes
Shown served with Annie's Favorite Cornbread - it was a very corny evening. Enjoy :-)