So, no - I didn't come up with this idea myself (you can thank Gilmore Girls for this), but a friend of mine came up with the name for them when I tried them out while we were camping over Thanksgiving.
You will need:
Marshmallows (the big kind)
A way to roast/toast the marshmallows (i.e. fire and roasting sticks)
Think Smores. Twist open an oreo, toast your mallow, and smoosh between the oreo cookie. They are amazing. =)