Late edit - throw in some raisins and skip the filling, this is my new favorite oatmeal raisin cookie recipe. Holy cow, these are good. If you like a soft cookie try this one out.
Preheat the oven to 350º
Cream together 1 1/2 cups brown sugar, 1/2 cup shortening, 4 tablespoons unsalted butter, 1 teaspoon salt, 1 teaspoon cinnamon, 1/8 teaspoon nutmeg, 1 teaspoon baking powder, 1 teaspoon baking soda, and 1 teaspoon vanilla extract.
Beat in 2 eggs and 3 tablespoons of milk.
Stir in 2 1/2 cups of flour and 2 cups of rolled oats.
Drop by the tablespoonful onto prepared baking sheets, leaving about 2 inches of space in between.
Bake 8-10 minutes. Cool 5 minutes on the pan before transferring to a rack.
While the cookies are cooling get to work on the marshmallow filling.
Pour 3/4 cup cold water in the bowl of a mixer and add 4 envelopes of unflavored gelatin (1/4 oz each). Let the gelatin soften for 5 minutes.
In a medium saucepan bring to a boil over high heat 3/4 cup water, 1/4 cup light corn syrup, 1/4 teaspoon of salt, and 3 cups of granulated sugar. Cook without stirring until the mixture reaches soft ball stage (234º to 240º).
Add the hot syrup to the softened gelatin in the mixer. Using the whisk attachment begin beating at a low speed. Gradually increase the speed all the way to high. The marshmallow will increase in volume as you beat. Continue beating until soft peaks forms. Beat in 1 tablespoon of vanilla extract.
Spread the bottom of one cookie with about 2 tablespoons of the marshmallow filling, and top with another cookie. Either wrap each sandwich individually (may be the neater option in the long run - this filling is fabulously gooey) or store in an airtight container.
The recipe for the filling makes enough that you'll have LOTS left over for homemade marshmallows. Spray an 8x8 in ch square or 9 inch round pan with cooking spray. Line the pan in parchment paper (enough that you have it sticking out of the pan) and then spray the parchment paper as well. Pour in your leftover marshmallow filling. Let it set uncovered for 3 hours at room temperature until firm.
Sift confectioners' sugar onto a clean work surface and turn the marshmallow out onto the sugar. Peel off the parchment and sift more sugar on top of the marshmallow.
Cut your marshmallow into the desired shapes. Be sure to spray your knife or cookie cutters with cooking spray. Once cut, roll in confectioners' sugar and store in a plastic bag.
My recommendation? Make yourself a big cup of hot chocolate and float a big old marshmallow on top.