Preheat the oven to 350F and line a baking sheet with parchment paper.
In a small bowl, combine sugar and cinnamon, and set aside.
Cut each slice of bread into 3 vertical pieces.
The French toast sticks:
In a shallow dish, whisk the milk, eggs, and vanilla.
Dip the sliced bread sticks in the egg mixture, turning each stick to soak up enough liquid on each side. With a fork, lift each soaked piece, letting it drip out any excess egg mixture and place it on the lined baking pan. Repeat with the remaining pieces.
Sprinkle the tops of the breadsticks with half of the cinnamon-sugar mixture.
Bake:
Bake the french toast sticks in the preheated oven for 13 minutes, remove the baking sheet from the oven, flip all the pieces over, and sprinkle the other side with the remaining cinnamon-sugar. Return the baking sheet to the oven for an additional 12 to 15 minutes, until the tops are golden and the middles are cooked.