1. Stir together milk chocolate chips and peanut butter chips. Place sheet of wax paper on tray or counter top. Finely chop 1 cup chip mixture in food processor or by hand; place on wax paper. Line tray or cookie sheet with wax paper.
2. Place remaining 1 cup chip mixture and shortening in narrow deep microwave-safe bowl. Microwave at MEDIUM (50%) 1 minute; stir. If necessary, microwave additional 15 seconds at a time, stirring after each heating, until chips are melted and mixture is smooth when stirred.
3. Spoon chocolate peanut butter mixture over about 3/4 of pretzel rod; gently shake off excess. Holding pretzel by uncoated end, roll in chopped chips, pressing chips into chocolate. Place on prepared tray. Refrigerate 30 minutes or until set. Store coated pretzels in cool, dry place. 12 to 14 coated pretzels.
VARIATION: Melt 1 cup milk chocolate chips and 1 cup peanut butter chips with 4 teaspoons shortening; dip small pretzels into mixture.