And to find out how you actually make them we got in touch with one of the creators of the new Sesame Street video game, Jon Katz.
Out on Kinect for Xbox 360, Sesame Street: Once Upon a Monster is a really interactive game where you can hang out with Cookie Monster, Elmo and other Sesame Street characters as they explore a living storybook.
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It certainly seems like they had a lot of fun making this game!
Check out the video below of the legendary video game creator Tim Schafer when he bumps into Cookie Monster on Sesame Street!