I found this recipe at:
Tienda.com While not exactly a cookie, I've had them for dessert at Chi-chi's Mexican Restaurant.
Churros
Churros can be found throughout Spain, often sold by street vendors who cook them fresh at their carts. The whole street fills with the smell of this delicious fried dough.
Ingredients:
2 cups water
1 tablespoon olive oil
1/4 teaspoon salt
2 cups of flour
Oil for deep frying
Granulated sugar for dipping
Preparation Instructions:
Place water, olive oil, and salt in a saucepan and bring to a boil.
Add the flour all at once and stir vigorously with a wooden spoon until a ball forms.
Cool slightly. Using a churro maker (or a pastry bag or cake decorator fitted with a 3/8 inch fluted tube -- #105 is good) press the dough out in 4 inch strips (which may be made in the shape of loops). The fluted shape is essential. Otherwise the pastries will turn out hard and doughy.
Heat the frying oil, at least 1/2 inch deep, in a skillet until it is very hot.
Reduce the heat to medium and from the churros, turning once, until they barley begin to color. Do not fry more that 3 or 4 at a time so that you can keep a watchful eye to prevent overcooking.
Drain. Serve warm and dip in sugar.
These crunchy treats are great for breakfast or as a dessert. They are best served right away, but they can be frozen and reheated in a toaster.
Buen Provecho!
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Or this one:
Mexican Tea Cakes
Similar to pecan sandies, these cookies are also called Mexican Wedding Cookies or Polvorones.
3/4 pound butter
6 tablespoons powdered sugar
3 cups flour, sifted
1 cup chopped pecans
4-1/2 tablespoons vanilla
Cream butter and sugar. Add flour. Then add nuts and vanilla, mixing well. Roll into balls about the size of a walnut. Bake for 18 to 20 minutes in a 325-degree oven. Immediately roll in powdered sugar.
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Or this one:
Mexican Flag Cookies
2 pkg. active dry yeast
1/4 cup warm water
2 cups butter (4 sticks), softened
1 cup sugar
1 egg
4 1/2 cups sifted flour
Red and green colored sugar
Preheat oven to 350F. Dissolve yeast in warm water. Cream together butter and sugar. Beat until light and fluffy. Beat in egg. Blend in dissolved yeast. Gradually stir in flour. Chill dough for about 2 hours. Shape into 3/4" balls. Dip one side in red sugar, the other in green sugar, leaving a clear stripe down the center. Place on buttered cookie sheets. Bake for 10-12 minutes, or until lightly browned. Remove from immediately to wire racks to cool.