Cookie Monster

The Cookie Monster was a puppet. According to Rose Tyler, he had "someone's hand up him and some bloke [did] his voice", although the Ninth Doctor told Rose that she was gullible for believing that, but when she asked if he really was an alien in response to his claim that the Cookie Monster had no intention to take over the parts of Earth without cookies, he told her she was gullible again. (PROSE: Winner Takes All)

Behind the scenes
Although one may read the dialogue indicative of the Doctor just joking around with Rose Tyler, it is not impossible that there is some truth to what the Doctor says, given other sources actually positing characters ranging from Mr Spoon to Paddington Bear are, in fact, real, despite many who believe they are just fictional characters.