Ok here are my questions...
1. Do you have to use sugar cookies? Can you make them out of any other kind of cookie?
2. How and what is the best way to put in the stick?
3. What is your favorite icing to use to outline and fill?
I've seen several different ones and I want to try to make one for my daughters 2nd grade teacher.
Thanks ahead of time.
Gingerbread and chocolate are other good choices.
Some put the sticks on before baking and some after. I prefer doing it before they bake.
Lots of different choices for icing:
MMF, RBC, royal are the 3 most popular.
I tend to use royal icing, but sometimes I use a powdered sugar glaze like Toba's (in the recipe section.)
Have a blast making them, get creative, the sky's the limit with cookies!
Leslie
I've done a few of these now myself, and I prefer to put the sticks in right after they come out of the oven. I always end up making the cookie mis-shapen when I try to do it before baking. 
I've only done sugar cookies, but it's a great idea to do others too! As far as the icing goes, I really like the "like lofthouse cookie/icing." It tastes really good and it hardens enough to package in a few hours if needed. Also, it stays soft enough you won't break a tooth (which is what I think it feels like when you use royal icing.) I've never tried any other icing for them, so this is all I the advice I can give you.
Good luck!
Amy
you can use other cookies or flavor the sugar cookie dough. I like the NFSC with almond flavoring. Whatever you use just be sure it does not spread too much or your cookie edges will not be sharp and neat looking.
I prefer to put the stick in before cooking because I don't like the big lump of icing to hold it on after. I read here on CC that some put the stick in the warm cookie right out of the oven, but I haven't tried it yet. I don't like the Wilton cookie treat pans, but maybe I just had bad luck. My sticks didn't stay in the cookie right and the edges weren't smooth enough for my taste.
For icing, I like the look of fondant decorated cookies, but I don't like the flavor of the Wilton fondant, so if I'm going to eat them I use RI.
I have used RBC but I could not get it to spread or "flood." The cookies came out good...maybe I'm not an good "icer" anyways I want to try something else. Good luck to you!! Let us know how they work out!
I use a traditional sugar-type cookie dough, but with a little cinnamon added to it. I ice them with RBC and add details with royal icing. I also insert the sticks immediately after I pull them from the oven. I've done the sticks both ways, I suggest you try it both ways and pick which method works best for you!
I just did them for the first time for Valentines day. I used a sugar cookie recipe, but I would assume you could make them with many rolled cookie recipes. I put the sticks in before baking. Used MMF with a little butter/vanilla flavor added and a pinch of salt. My customers loved them.
So, I've been making decorating sugar cookies for years but have never "put them on a stick". How do you put the stick in them before baking?
Here is a mini how to that I did a while back. It shows how I insert the sticks before baking.
http://forum.cakecentral.com/cake-decorating-ftopict-20377-rolling.html+cookie+dough
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