Lightly beat the egg and mix with milk. Soak the bluegill fillets in milk/egg mixture while preparing breading and oil. Pour 1/8 inch oil in an electric skillet and heat to 375 degrees. Place breading mixture in a one-gallon food storage bag. Add 6 to 8 fillets, close the top of the bag, and shake until fillets are evenly covered. Drop the coated fillets in hot oil and cook 2 - 3 minutes on each side. Serve hot with a dipping sauce made by mixing the catsup and horseradish. These make a great appetizer or entree.