Begin by finely crushing the Oreo cookies in a food processor until they resemble sand. Melt the unsalted butter in a microwave-safe bowl, then mix the melted butter with the crushed cookies until well-combined. Press this mixture firmly into the bottom of a 9x13 pan, creating an even layer. Chill the crust in the refrigerator for about 30 minutes to set.

In a large mixing bowl, beat the softened cream cheese with granulated sugar, milk, and vanilla extract using an electric mixer on medium speed until the mixture is smooth and creamy, typically about 2-3 minutes. Gently fold in the whipped topping until fully incorporated, then spread this cream cheese layer over the chilled Oreo crust, smoothing it into an even layer.

In two separate bowls, whisk together the instant chocolate pudding mix with 1.5 cups of cold milk and the instant vanilla pudding mix with 1.5 cups of cold milk, allowing both mixtures to thicken for about 2 minutes.

Once the cream cheese layer has set slightly, spread the chocolate pudding mixture evenly over the cream cheese layer, followed by the vanilla pudding on top, smoothing it out evenly.

Spread the remaining whipped topping across the top of the dessert, smoothing it out. Decorate with Christmas sprinkles and mini M&Ms or any holiday candies. Cover the dish with plastic wrap and chill it in the refrigerator for at least 4 hours or ideally overnight.