You can use whole rolled oats or even quick oats. The whole rolled oats will make a more hearty texture, while the quick oats, which are finer in texture, will make a more refined cookie. It really just depends on what texture you prefer. Just do not use pre-sweetened oatmeal oats or anything along those lines. You also do not want to use steel-cut oats, which would be way too crunchy and firm for cookies.