There are a few Peruvian places around that have their style of empanada, I imagine. For example, you could try La Carreta in Orem. Pupusas are similar to empanadas, and El Mexsal in Provo has some excellent ones.

Then, of course, there's always the caramel apple empanada at Taco Bell. Don't scoff--they're probably not what you're looking for, but they are really good.