What are the best finger foods for my baby?

Varies with age. Babies are too young for finger foods (they don't really chew), even if they have some teeth. In toddlers, real chewing occurs after 18 months (when first molars appear), and even better chewing occurs after 2 years (when second molars appear). I don't recommend teething biscuits or any other cookies for babies, because chunks of biscuits tend to break off. The chunks may gag and choke babies.
Beyond cheerios. Babies who are first learning to feed themselves do well with soft, diced, easy to handle foods. Some examples are soft diced fruits, sweet potatoes, avocado, tofu, pastas, eggs, soft cheeses, graham crackers, or puff type snacks. Avoid foods that are round and smooth or too large. Mesh feeders are available which allow the baby to gnaw on and suck the juice out of larger pieces of soft fruits.