I do, but only once in awhile. It's definitely not an everyday thing in my house. I do buy healthful, small cookies and they get those if they eat well.
I try to make nothing completely off limits, that's not the way I eat so I'm not going to do that to them. I do keep them away from things with hydroginated oils, though - but there are excellent cookies, crackers, snacks that don't have this.
My kids like yogurt covered pretzels - these are a little better and they only get 1 or 2 for a treat. Again, not everyday.
I'm super healthy but my kids (2 and 4) are extremely picky - it's really tough to make sure they get everything they need. I've learned to "let a lot go" and just try the best I can. Their doctors agree.