what kind of chocolate were you using? if you were using packaged chocolate chips, it has stabilizers to keep it in chip form and is not recommended for applications such as dipping or candy making.
when using chocolate to coat candies such as what you're doing, you have to buy a high quality couveture chocolate but that would mean you have to temper it, and if you don't have that experience doing it, i dont recommend spending the money on such an expensive chocolate. properly tempered chocolate does not need to be refrigerated to harden, it will harden on its own and be shiny. once you put it in the fridge and take it out, the moisture will bead up on the surface and cause it to become moist, therefore somewhat melting the chocolate.
in your case, when you chilled your chocolate dipped pretzels, it would need to be consumed right out of the fridge so the chocolate doesnt "sweat". you probably just took it from a cold environment and left it at room temperature, therefore causing it to sweat and melt. i hope this clarifies your chocolate situation...  | 
