Chop Oreos in a food processor or blender till all you have is fine crumbs. Set aside.
Whip cream in a cold bowl till soft peaks form; set aside.
Beat cream cheese till soft and fluffy. Beat in powdered sugar, vanilla, then milk. Blend till smooth. Fold in whipped cream. Set aside.
Beat pudding mix and milk as directed on the box.
To assemble the pudding cups: Sprinkle a layer of Oreo crumbs in the bottom of a clear plastic cup. Pipe or carefully spoon a layer of cheesecake filling.
Then pipe or spoon a layer of chocolate pudding. Add another layer of cheesecake filling.
Top with additional oreo crumbs, completely covering the filling. Refrigerate till serving time.
Notes
-You have to work quickly when filling the cups, because the pudding starts to set up, making it hard to get even layers. If you have to, you can add milk as you go.