Preheat oven to 400 degrees. Line a large baking sheet with foil then place a non-stick metal baking rack on top of the foil. Place the chicken wings in a single layer on top of the baking rack (this will allow the chicken to get crispy on both sides and allow the juices to run off onto the foil). Season the wings generously with salt and pepper. Bake until the chicken is cooked through and golden, about 30 minutes.
Meanwhile, in a small saucepan over medium heat, stir together the sugar, lime zest, lime juice, jalapeño, tequila, and salt. Bring to a boil, reduce heat, and simmer for 3-5 minutes until the mixture begins to thicken slightly.
Remove the wings from the oven. Turn on the broiler to high. Using tongs, place the wings in a heat safe bowl and toss them in the margarita glaze. Return them to the baking sheet and place them under the broiler until they begin to caramelize and darken, keeping a close eye on them, about 3-5 minutes. Transfer the wings to a serving plate, drizzle them generously with the margarita glaze, and serve with lime wedges and freshly cracked sea salt and any leftover glaze on the side for dipping.
Note: the heat level on these wings will vary depending on the jalapeño.