LORELAI: I got your note.
RORY: Yeah, well pinning it to the Mallomars is always a safe bet.
Mallomars are graham cracker biscuits overlaid with marshmallow, then coated in dark chocolate. First introduced in 1913, they are manufactured by Nabisco and produced in a factory in Ontario, Canada (like the pilot episode of Gilmore Girls). They are a seasonal item, only available from October to April, so it fits that Lorelai and Rory are eating them in the middle of winter.
Jackson once gave Lorelai a recipe which sounded very much like home made Mallomars with jam instead of marshmallow.
The Annotated Gilmore Girls 