Maryland cookies dunked in milk were a childhood favourite.
A friend and I were once planning to write a book on dunking, we were going to go to places like Clarifies and The Ritz for tea and blatantly dunk, to see what reaction we got. We never quite managed that, but did some quite extensive research on suitabilty and comparability of certain biscuits with various liquids.
"Nice" (as in the variety, not a comment on their social standing) are obviously not recommended for the amateur dunker, as the timing of the immersion is crucial, as it the transfer of the biscuit from cup to mouth.
Get it wrong, and you either end up with a nasty sludge at the bottom of the mug, or a soggy mess in your lap.
However for a rather more sophisticated experience, try all butter Danish biscuits dunked in sherry.
Little finger crooking is optional, but if you DO decide to do it, try to make it understated rather than ostentatious.