Argentines drink a lot of coffee and smoke a lot of cigarettes. They wash down tons of beef with gallons of wine. So it is no surprise they indulge themselves when it comes to sweets too. Hence, the alfajor.
Alfajores are cookies stuck together with dulce de leche (a sweet, sticky milk) and covered in chocolate. They taste like a field of sugar cane exploding in your mouth and you will need to counterbalance it with bitter, black coffee.