Preheat oven to 350 degrees. Generously grease a donut pan; set aside.

In a large bowl whisk together the dry ingredients. In a separate bowl whisk together the wet ingredients, then gently pour them into the dry ones. Fold ingredients together until just combined.

Spoon mixture into prepared doughnut pan, and bake for 9-10 minutes, or until the donuts spring back when lightly pressed. Be careful not to over bake here!

Allow doughnuts to cool a few minutes in the pan before transferring to a wire rack to cool completely.

In the bowl of a stand-mixer fitted with the paddle attachment, or in a large bowl using an electric handheld mixer, beat the cream cheese, butter, and vanilla extract on medium-high speed until completely smooth; about 2 minutes. Reduce the speed to low and gradually add the sifted confectioners' sugar. Add in the milk. Once the milk is combined beat frosting on high-speed for 1-2 minutes.

Spread the frosting on top of each cooled donut then sprinkle each with a few teaspoons of chopped Oreo cookies. Serve at once! Donuts are best eaten the day they are made.