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There is no cookie that says "Christmas in Sweden" more than traditional Pepparkakor, commonly referred to as "ginger thins" or "gingernuts" in the UK. Although they are similar in taste to the United States' gingersnaps, they are very different cookies. Pepparkakor are generally spiced a bit heavier, with a smooth finish and are extremely thin -- approximately 1/8". Gingersnaps in the United States are usually drop cookies with crackes on the top and oftentimes a soft center.
Pepparkakor is an integral part of the Christmas feast in Sweden and is also used to decorate their Christmas trees. While you will usually see them in the shape of a heart, at the holidays they are also cut into pig and goat shapes. What? You don't know about the Christmas goat?
Swedish custom says that you should place a Pepparkakor in the palm of your hand. Then, make a wish. Using the index finger or thumb of your free hand, tap the cookie in the middle. Swedish tradition states that if the Pepparkakor breaks into three pieces, your wish will come true. If the Pepparkakor does not break into three pieces, well, you'll just have to enjoy eating the cookie in smaller pieces.