What's your favorite? The ones in my local supermarket a damn expensive, what's with that?
They are ridiculously expensive to buy and very easy to make. Make a thin sheet cake on a cookie pan. Cut into rectangular lengths. Or you can break it up like Carvel does.
Put your favorite ice cream into a mixing bowl and whip it mildly, enough to make it workable. You can use a mold to help as you layer the cake and ice cream. You can make a better one than those guys by adding nuts and fruit or flavored syrup.
I have rolled the whole thing up in the past and made a ice cream Buche de Noel coated with chocolate coating.
Here is what you can do to REALLY impress your friends. Put the whole thing into a bowl shaped mold. Coat it with meringue, set it on fire with your favorite liqueur and you have Baked Alaska.