For the cookies: Preheat the oven to 350 degrees F. Coat 2 baking sheets with cooking spray.
Beat the cake mix, eggs, butter and 1/3 cup water in a large bowl with an electric mixer on medium speed until smooth and no bits of dry cake mix are left. Drop the batter onto the prepared baking sheets, using about a tablespoonful for each cookie (a small ice cream scoop will make this task easier) and spacing them about 1 1/2 inches apart. Bake until set around the edges but still soft in the center, about 8 minutes. Let the cookies cool on the baking sheets for 10 minutes, then transfer to a cooling rack to cool completely (the rounded tops will sink slightly). Continue to bake cookies with the remaining batter.
For the filling: Melt the chocolate and butter in a medium bowl in the microwave in 1-minute increments, stirring after each, until smooth. Beat the cream cheese, sugar and vanilla together with an electric mixer on medium-high speed in a large bowl until smooth. Pour the chocolate-butter mixture into the cream cheese mixture and mix until smooth.
To assemble: Spread about 1 tablespoon of the filling on the flat side of half the cookies. Sandwich with the remaining cookies, pressing slightly so the filling squishes to the edge. Roll the filling edge in sprinkles to coat. Serve or refrigerate up to overnight.
Some cake mix brands will yield flatter and fudgier cookies. Others will produce puffier and slightly cakier cookies. Both are delicious in this recipe.
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