This is called 'Obanyaki' (pronounced Oh-bun-yucky). It's a thick round cake filled with Anko (sweet azuki paste), which they make on a big iron mold. They sometimes also make it with a cream filling, too.
We have an Obanyaki booth near the Tokorozawa Station and a lot of people line up to buy it on weekends. You can buy one for 50yen. It's really good!