A cookie with a note in it is called a fortune cookie. A fortune cookie is a fun cookie that is special because it is secretly "lucky". It's a thin, crunchy cookie with two corners pinched out at random. The reason is that there is a note hidden in its bulging belly. The note contains a phrase or a number, mostly "chicken soup" or "lucky numbers".

When you open a fortune cookie, what kind of note you get is completely random, which adds a sense of fun to the fortune cookie. The "fortune cookie," a Chinese food that has become a big hit in the United States, is a hidden secret that you don't see in China.

Expanded:

Because the cookies have only been seen in Chinese restaurants in the U.S. and are a standard fare in Chinese restaurants, many people mistakenly believe that there are plenty of fortune cookies in China as well.

As early as the 19th century, there was a small cookie in Tokyo, Japan that resembled the American fortune cookie and had a tradition of divination by drawing lots in Japanese temples known as Goshinji. The Japanese fortune cookie is the same shape as this one, but differs in a few ways: it's a bit larger; it uses a darker raw dough; it's made with sesame seeds and miso instead of vanilla and cream; and the note is embedded in the cookie instead of being placed in the hollowed-out portion.

Baidu Encyclopedia - fortune cookie