In a double boiler, melt the chocolate and heavy cream until smooth. Allow to cool slightly before placing into a piping bag with a 1/4 inch tip. Pipe chocolate sauce onto rim of glasses, creating drips around glass. Place broken cookies and cream cookies onto the rim by squeezing a bit of chocolate sauce onto the cookie, then placing firmly onto the rim. Place glasses into fridge until ready to serve.
Make the milkshake
Combine vanilla ice cream, iced coffee, and cookies and cream cookies in a blender, blending until smooth. Pour into prepared glasses, filling to the rim.
To decorate the milkshakes, scoop a dollop of whipped cream on top, then gently place a toasted marshmallow on top of that (to quickly toast marshmallows, place them under a broiler for 1-2 minutes). Finish with crushed cookies and cream cookies. Devour!