Break one of the cookies into a small bowl and crush into fine crumbs (use a rolling pin or the flat side of a knife in a zip-top bag). Reserve about a tablespoon of crumbs for garnish and keep the rest for the glass rim or topping.
If you like a pretty presentation, drizzle a little chocolate syrup along the inside of two chilled glasses and dip the rims into the reserved cookie crumbs. Place the glasses in the freezer for 3–5 minutes while you mix the frappe.
Add half of the ice to a blender and pulse briefly to break it up. Then add the chilled coffee, milk, vanilla, espresso powder, chocolate syrup, sugar and two of the sandwich cookies (leave the reserved cookie aside for garnish). Pulse 3–4 times to combine and start breaking the cookies into the mixture.
Add the remaining ice and blend on high for 20–30 seconds, scraping the sides as needed, until the mixture is smooth and frothy but still scoopable. If the frappe is too thick, add a tablespoon of milk and blend briefly; if too thin, add a few ice cubes and re-blend.
Pour the frappe into the chilled glasses. Top each with a swirl of whipped cream (if using), a drizzle of chocolate syrup and the reserved cookie crumbs. Serve immediately with a thick straw.