There are three places in the city I have been to that do it well: Anyway Cafe (151 2nd Ave.); The Russian Vodka Room (265 W. 52nd St.); Aquavit (65 E. 55th St.) and I've also heard that Savalas (285 Bedford Ave, Brooklyn) serves an Oreo infused vodka, I can't recommend it until I've tried it, but I'll keep you posted.
But what do you think?