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. He told her that the Cookie Monster had no intention of taking over parts of Earth without cookies. When she asked if he really was an alien, 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.