Some healthier cookie options are Old Mother Hubbard or Wellness brand cookies. Ginger Ridge is also a company that makes great organic, GMO-free treats. Zuke's makes good jerky-type treats that are the perfect size for training. Good brands like these can usually be found at smaller shops that specialize in pets. Look for ingredients with names that you actually recognize and can pronounce, and the fewer ingredients in the treat, the better!
Other healthy treat options are carrots, broccoli, apples, banana and frozen melon balls. All of these are very popular at my house! When we first got Kailey she looked at me like I was an idiot for giving her veggies as treats, but she warmed up to them after a while and will now do almost anything to get her paws on a carrot!!!
Oh, and if you like to cook, you could always try making some of your own, so that way you know exactly what's in them. I have to admit I'm not quite that ambitious, but here's a website you could try if you want to give it a shot!
http://www.bullwrinkle.com/Assets/Recipes/Recipes.htm
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Chase (Friendly Resident Wigglebum) - Border Collie/Lab/Shepherd X
Kailey (Misunderstood Gentle Beauty) - GSD & foster failure #1
Rupert (Gold-Medal Winner of the 3 a.m. Kitty Destruction Olympics
)
Heidi - RIP my sweet baby girl