Ah, now, many years ago, a friend and I were thinking about writing and publishing a book on dunking!
(Don't laugh, we envisaged it as a sort of "ideal stocking filler" type thing!)
We had our research mapped out, what to dunk in what, and where to dunk.
There were plans to go to the Dorchester (and other upmarket venues) for either morning coffee or afternoon tea, and blatantly dunk, just see if any eyebrows were raised.
This research never actually took place 
However, other tests were tackled enthusistically!
We discovered that M&S All Butter Danish Biscuits were particularly suited to dunking in Amontillado Sherry, and that Maryland Cookies worked very well with milk.
Longues du chat (sp) were tolerable dipped in orange juice, but a bit of an acquired taste.I
Brandy snaps, although not strictly speaking a biscuit, can go well with Horlicks, as per if you make "special" Horlicks 