The name (and shape) come from the icosahedron, a 20-sided platonic solid. The pie-cosahedron is a 20-sided pie. Check out the recipe here. (This pie would also make a great snack for anyone playing Dungeons and Dragons.)
Warning: Constructing the pie-cosahedron requires a bit of handiness around tools so I would not recommend this for the typical mathematician.
The second dessert that caught my attention was a fractal pecan pie.
The crust for this pie is an approximation of the Koch snowflake. The creators chose this shape because, in their words, the best part of a pecan pie is the crust. Since the Koch snowflake has an infinite perimeter and a finite area (a seemingly paradoxical fact that is quite common among fractals) a slice of a true Koch snowflake pie would have an infinite amount of crust. (That the Koch snowflake has infinite perimeter and finite area can be shown using limits. The derivations for the perimeter and area can be found here.)
As the fractal pie is not a true Koch snowflake we will have to settle for an increase in the crust-to-filling ratio per slice. The recipe can be found here.
This is what I call applied math!
May the winter season bring unbounded joy under the metric of your choice.