Filled cookie is generally made with a filling sandwiched between two pieces of cookies. Filled cookies use a variety of fillings and flavors. They can be filled with jam, cream, dates, jelly, cream cheese, rugelach etcetera. Filled cookies can be made form a rolled oats, wheat flour or white flour. The combination of the ingredients and the flour base differs from recipe to recipe. Filled cookies are a Christmas favorite but are also popular as all time bakes.