Pour 2-3 inches (5-7.5 cm) of frying oil into a heavy cooking pot or wok. Heat until 375ºF (191ºC). If you don't have a thermometer, stick a wooden spoon, skewer, or chopstick into the oil. If the oil bubbles around the wood, it's hot enough for frying.

Combine pancake mix, egg, milk, and vegetable oil in a large bowl and whisk until smooth. Your batter should not be runny--it should be thick and gooey so it will stick to the cookies.

Use tongs or your hand to dip the oreos in the pancake batter, coating it entirely with batter.

Put the coated oreos in the hot oil and cook until they are crispy and golden brown, making sure to turn them over with the tongs. Frying works best in small batches, so try to fry no more than 4 or 5 at a time, depending on the size of your pot. The cookies should have enough room to float around without touching each other and sticking together.

Remove the fried cookies with tongs and place them on a paper towel to drain.

Serve warm.