Recently i've been fortunate enough to get to eat amazingly wonderful sandwich cookies from (2) different places in manhattan--notes below.
1) the 'Mangia' chain (57th st, 48th st, and wall st) has a bunch of different kinds, but the standout so far is their Orange butter cookies, two thin shortbreads sandwiching orange-flavored dulce de leche. wow. their chocolate macaroon sandwich cookies are also nice nice nice.
2) the chatty guy w/the tiny vegan bakery truck down at the Union Sq. farmer's market has had what he calls the 'world's best sandwich cookie' and he's almost right. they're not very sweet cookies with an amazing filling made of crushed walnuts and lemon juice. sounds awful, tastes amazing.
these are all mighty pricey but absolutely worth it.
Does anyone have any other recommendations?