Whisk the flour, cinnamon, nutmeg, oats, baking soda, and salt together in a medium bowl. Set aside.

In a large bowl using a hand mixer or a stand mixer fitted with a paddle attachment, beat the butter and brown sugar together on medium-high speed until creamed, about 3 minutes. (Here’s a helpful tutorial if you need guidance on how to cream butter and sugar.) Add the egg, eggnog, and vanilla extract and beat on high speed until combined, about 1 minute. Scrape down the sides and up the bottom of the bowl and beat again as needed to combine.

Add the flour mixture to the wet ingredients and mix on low until combined. Dough will be very sticky.

Cover dough tightly and chill in the refrigerator for at least 2 hours and up to 3 days. Chilling is imperative for this sticky cookie dough.

Preheat oven to 350°F (177°C). Line large baking sheets with parchment paper or silicone baking mats. Set aside.

Roll chilled cookie dough into balls, about 1 heaping Tablespoon (24-25g) of dough each, and place 3 inches apart on the baking sheets. (You should get 24 cookie dough balls.)

Bake for 11–12 minutes, or until very lightly browned around the edges. The centers will look very soft. Remove from the oven and allow cookies to cool on the baking sheet for 10 minutes before transferring to a wire rack to cool completely. (Success Tip: If your cookies are spreading too much or unevenly, remove them from the oven and use a spoon to lightly push any wonky edges back in towards the center, to reshape into circles. You can repeat this trick again as soon as you take them out of the oven after baking.)

Using a handheld or stand mixer fitted with a paddle or whisk attachment, beat softened butter on high speed until creamy, about 1 minute. Add the confectioners’ sugar and beat on medium speed for 1–2 minutes. Pour in eggnog and vanilla extract, and add a pinch each of cinnamon, nutmeg, and salt. Beat on high for 2–3 minutes until fluffy. Pipe or spread some of the cream filling on the bottom side of half of the cookies; top with remaining cookies, right side up. I used Wilton 199 tip to pipe.

Cover and store leftover cookies at room temperature for up to 1 day. After that, store in the refrigerator for up to 1 week to keep the creamy filling fresh.