I'm not a big cookie guy. They fall behind pies and ice cream in the dessert pantheon (and just ahead of cakes). But I definitely enjoy me some Christmas cookies at this time of the year.
My favorites are spritzes, those little Christmas tree and pinwheel shaped sugar cookies. I have no idea how they're made (it's involves some kind of specialized equipment, and, I suspect, dark magic) but I love 'em.
I also favor simple sugar cookies cut out into various Christmas shapes, with corresponding colored icing (white for snowmen, red for stocking, etc.). When I was a kid, my mom had a set of cutouts with all kinds of different holiday shapes, and she'd make these cutout cookies for damn near every holiday throughout the year. It was awesome.
Gingerbread men are another favorite (the softer and chewier, the better). Every year, the Macy's (nee Dayton's in Downtown Minneapolis sets up a themed display with animatronic robots and detailed sets on the 8th floor, and it's a family tradition to walk through it and then get a Gingerbread Man cookie in the gift shop (Mrs. Teebore always gets my Red Hots buttons...).