Some healthier improvements also improve flavor. Frex, zucchini milk makes thing moist and heavy and delicious. They taste like they have a million calories but they don't. Also if you want to make your baked goods green, just buy the green-black kind of zucchini and leave the peel on when you blend it. It comes out a fairly bright apple green.
I've never been a big fan of plain cookies that are just sugar, or worse, have half an inch of icing on top. :P I like cookies with oatmeal, nuts, dried fruit, coconut, or other actual food in them. Oatmeal raisin, kitchen sink, and macadamia white chocolate chip are favorites. Though I like chocolate chip too -- our favorite recipe uses Nutella for a double-chocolate hazelnut cookie. :D
Experiment. Find out what you like. Often you can make something better than the junk food sold in stores. Unless it's one of those sweet potato handpies with a day's worth of vitamin A, those are already pretty damn good.