Prepare your cookie sheets with parchment paper and preheat the oven to 400. Marinate the okra. Remove hot cookie sheets and grease them. (You are mimicking hot oil in a skillet.) Bread the okra and put it on the hot cookie sheet in a single layer. Bake 17 - 20 minutes. Remove cookie sheets at halfway point and try to flip over the okra so it browns evenly. Broil at the end of cooking to brown them a little more if needed. Combine horseradish, yogurt, salt for the sauce.
If you are using fresh okra cut them into about 1-inch lengths. They shrink up when cooked and if they are cut too small, it is hard to dip them in the horseradish sauce. If you do cut them small, just mix the sauce with the okra - think gravy - and eat with a fork.