In a large bowl, combine the yogurt, vegetable oil, lemon juice, garlic, ginger, tandoori spice mix, cumin, paprika, salt, black pepper, and cayenne pepper (if using). Mix well to create a marinade.
Add the chicken thighs to the marinade, ensuring they are fully coated. Cover the bowl with plastic wrap and refrigerate for at least 2 hours, or preferably overnight for the best flavor.
Preheat your oven to 425°F (220°C). Line a baking sheet with aluminum foil for easy cleanup and place a wire rack on top.
Remove the chicken from the marinade, allowing any excess to drip off, and place the pieces on the wire rack.
Bake in the preheated oven for 30-35 minutes, or until the chicken is cooked through and the skin is crispy. The internal temperature should reach 165°F (75°C).
Once cooked, remove the chicken from the oven and let it rest for 5 minutes. Garnish with fresh cilantro and serve with lemon wedges on the side.