Place cereal in a large bowl and set aside.
Microwave the butter, peanut butter, and chocolate chips in a medium bowl. Start by microwaving for 30 seconds, stirring, then microwaving in 15-second increments until almost melted helps prevent the chocolate from burning. Then stir until fully melted.
Pour the chocolate mix over the Chex cereal and stir it well until all the cereal is coated.
If your bowl has a lid, add the powdered sugar directly to the bowl, cover, and shake to coat. Or pour it into the freezer bag of powdered sugar and shake it to cover the cereal. It will take several shakes to get it all coated.
Sprinkle in the M&M's, chocolate-covered pretzels, and chocolate chips and stir it all together. Enjoy!