Preheat the oven to 350 degrees F. Spread the pecans out on a rimmed baking sheet, and bake, tossing once, until very golden brown, 8 to 10 minutes. Let cool, then very finely chop.
Process the cream cheese, mayonnaise, Cheddar, Swiss cheese and cayenne in a food processor until the mixture is mostly smooth. Transfer to a large mixing bowl, stir in the pecans and season with 1/4 teaspoon salt. (The dip can be made ahead and refrigerated for up to 1 day.) Spoon the dip into a serving dish, and garnish with chives. Serve with sliced apples, pears, celery and/or butter crackers for dipping.
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