For Fondue: Bring cream, sugar and cocoa powder to simmer in heavy medium saucepan on medium heat, stirring frequently. Remove from heat.
Heat semi-sweet chocolate in bain-marie over hot water until melted, stirring occasionally. Gradually whisk in cream mixture until blended.
Add peanut butter and vanilla; whisk until blended. Strain through fine sieve.
For each serving: Pour 1/4 cup fondue into small ramekin. Serve with 2 NUTTER BUTTER and 1 each of the OREO Cookies.