Crush the Oreos finely until they resemble crumbs. Combine them with melted butter in a bowl until well mixed. Press this mixture firmly into the bottom of a 9x13-inch pan to form a solid crust. Chill in the refrigerator for at least 10 minutes.

In another bowl, beat together softened cream cheese, granulated sugar, milk, and vanilla extract until smooth and creamy. Gently fold in the whipped topping until well blended. Spread this mixture evenly over the chilled Oreo crust.

Prepare each box of pudding according to package instructions using cold milk. Allow them to set briefly until they thicken slightly. Begin layering by pouring the chocolate pudding over the cream cheese layer first, followed by the vanilla pudding layer on top.

Spread the remaining whipped topping over all layers smoothly. Sprinkle generously with Christmas sprinkles and top with mini M&Ms or any colorful holiday candies. Chill for at least four hours or overnight.