Madonia Bakery on Arthur Avenue in the Bronx has the most delicious rainbow cookies I've ever tasted (and I've tasted quite a few in my days). The cake part is moist and each layer is separated by preserves that taste like real fruit and they are coated in rich chocolate that actually tastes like real chocolate. It's impossible to eat just one. Each bite is a little taste of heaven. Their biscotti are damn good too.
I was almost afraid to post this because I don't ever want them to run out, but I've learned way too may good things from Chowhounds, so I'm doing my part and sharing the wealth.