Martha's favorite kielbasa is "chunky, meaty, slightly garlicky, with natural casing and not too much fat." Her two favorite purveyors are Sikorski Meat Market, in Brooklyn's Greenpoint neighborhood, and Chester's Smokehouse, in Albany, New York.
Preheat oven to 400 degrees. Line a rimmed baking sheet with foil; top with parchment. Poke holes all over kielbasa. Transfer to sheet, pulling sides of foil up to create a well. Add 1/2 cup water.
Roast until skin is crackling and beginning to brown, about 20 minutes. Flip; continue to roast until dark golden brown, about 20 minutes more.
Slice and serve, with horseradish and mustard.