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Combine brown sugar, peanut butter, shortening, milk, and vanilla in large bowl. Beat at medium speed until well blended. Add egg; beat until just blended.
In a separate bowl, combine flour, baking soda, and salt. Add to creamed mixture at low speed. Mix just until blended.
Form dough into 1-inch balls. To make reindeer-shaped cookies, pinch the bottom of the ball slightly to form a point, then gently flatten with your hand. Space cookies about 2 inches apart on a greased cookie sheet and bake for 7 to 8 minutes, until set or just beginning to brown.
Remove from oven and immediately (and gently) press two mini pretzels into the tops of the cookies for the reindeer's antlers. Press two mini brown M&Ms in for the eyes and one red M&M for the nose (or any other color... some of mine ended up with green noses. They might be South Pole reindeer.).
Allow to cool 2 minutes on the baking sheet and then transfer to a wire rack or paper towel to cool completely.