Sfizi on Wiktionary https://en.m.wiktionary.org/wiki/sfizi:
plural of sfizio
Sfizio is defined as
that doesn’t really explain what it would be as a menu category though.
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Sfizi is indeed the plural of the noun sfizio, which means “whim, fancy”, or something unusual you desire. In some menus they use it to denote some – in their opinion – especially tasty or sophisticated plates, mainly hors d'oeuvre or desserts. But the use itself is somewhat whimsical: you won't find it in an old-fashioned restaurant.
I agree with the other answers/comments that it means treats, but unlike them I have seen it used almost exclusively as a section of the menu (usually of a cheap eatery such as a pizzeria or a pub) containing deep fried side dishes such as fries, cheese balls and olive ascolane --- never for desserts or fancy starters. See for instance here or here.