ALFAJORES (DULCE DE LECHE SHORTBREAD COOKIES) + VIDEO Alfajores are very popular in Argentina, Uruguay, Ecuador, Chile, Paraguay, Peru, and Brazil. How had I never heard of them before? I will never know, but ever since then I’ve been in love with them. They are basically shortbread cookies that sandwich dulce de leche. They look very fancy but actually are very simple to make. These cookies are beautiful for a spring brunch, a baby shower, or a wedding. They are so elegant looking.