Preheat oven to 425°F.
Pat the chicken thighs dry with a paper towel and add them to an oven-safe dish, making sure they have space and don't overcrowd.
Drizzle the chicken with oil, mustard, lemon juice, and season with salt, onion powder, dried dill, paprika, and cayenne. Mix well.
Bake the chicken for 35 minutes, then remove from the oven, spoon the juices over the chicken, and bake for another 5 minutes.
Make the sauce by processing the Greek yogurt or sour cream, mayonnaise, lemon juice, fresh dill, onion powder, and chili pepper. Adjust seasoning to taste.
Serve the chicken with the creamy lemon dill sauce, and your choice of sides.