Separately shred or crumble each type of cheese onto sheets of waxed paper. Set aside.
In a heavy-bottomed medium-size saucepan, heat 1 cup of the wine until simmering. Add in blue cheese, stirring until mostly melted (sauce will be slightly lumpy). In a small bowl, stir together 2 tablespoons of the water and 1-1/2 tablespoons of the cornstarch. While stirring, add to cheese mixture in the pot. Cook until slightly thickened, about 2 minutes. Add in 1/8 teaspoon of the cayenne and 1/8 teaspoon salt. Transfer to a small fondue pot, such as one from Wilton. Cover loosely to keep warm while preparing remaining fondue.
Repeat step 2, using the smoked Gouda cheese. For the pepper-Jack or jalapeño cheddar option, repeat as above, omitting the cayenne pepper. Serve all 3 fondue flavors with an assortment of breads, potato chips, vegetables and apple pieces for dipping.