Okay, I know this is a really old thread, but just in case anyone else is interested... this past weekend I made horse cookies to use when clicker-training my horse.
Basically I mixed together oatmeal, corn bread mix, molasses, applesauce, a little bit of oil, 2 eggs, flour, cinnamon and sugar, and enough apple juice to make it into a sort of dough. Rolled it into balls and baked at about 325 until hard (I didn't time, just kept checking). Turns out my dog loved 'em, and I came home later to find my boyfriend eating some and sharing them with the dog! (he KNEW they were supposed to be horse treats, but I made the mistake of telling him they were made with people-grade ingredients.)
I've made these before, and basically you can use any number of ingredients mixed in proportions to make the right consistency dough. Sometimes I've cleaned out the pantry this way... old boxes of cereal or cake mix that won't be used can be tossed in! Also, you should always add an egg or two, as it acts as a binder to help hold things together. A bit of oil in the mix seems to help too, although now I can't recall why. Here are some things I've used in the past:
Dry stuff: Oatmeal, corn meal, Bisquick, cake mix, gingerbread mix, powdered or regular sugar, brown sugar, cream of wheat, wheat germ, rice crispies, crushed cookies or graham crackers.
Moist stuff: applesauce, any flavor baby food, cooked and mashed carrots, fruit juice, molasses, honey, mashed banana (my dog loves dried banana chips)
If the mix is really sticky, it helps to use wet hands to roll it into balls.
NOTE: Although many dogs love chocolate (as do people), do NOT use it, as it's poisonous... especially cocoa used in cooking. (Just in case someone reading this post isn't aware of that)