FOR THE SAUCE: Melt margarine in a large saucepan. Add flour, stirring until mixture reaches a paste consistency. Slowly add milk, stirring constantly. As the sauce thickens, add cheese. Stir until cheese melts.
Combine eggs and milk. Scramble in large skillet. Add cooked bacon. Cut bread dough into 4 equal pieces. Roll each into a circle 1/4" thick. Fill one side of dough with 1/4 of each: cheese sauce, egg mixture, peppers, onion, and shredded cheese. Fold dough in half, pinch calzone closed. Bake on a cookie sheet at 350 degrees for 20 to 25 minutes or until golden brown. Serve with extra cheese sauce.