Preheat the oven to 350°F (175°C). Line a baking sheet with parchment paper or a silicone baking mat.
Set aside 1/4 cup of the 1 1/4 cups holiday M&M’s for topping; you will fold the rest into the dough.
In a large mixing bowl, beat the 2 sticks (1 cup) salted butter, 1 cup dark brown sugar, and 1/2 cup granulated sugar until light and creamy (about 2–3 minutes). Add 1 tablespoon vanilla extract and mix until combined.
Add the 2 large eggs, one at a time, beating to combine after each, then beat in the extra egg yolk until incorporated.
In a separate bowl (or add directly), stir together 2 cups all-purpose flour, 2 teaspoons baking soda, 2 teaspoons baking powder, and 1/2 teaspoon kosher salt. Add the dry ingredients to the wet mixture and beat just until combined.
Stir in 2 cups old fashioned oats until evenly distributed.
Crush 1 cup mini pretzel sticks (use a rolling pin or pulse briefly in a food processor). Fold into the dough along with 1 cup semi-sweet chocolate chips or chunks, 1/2 cup white chocolate chips, and 1 cup of the holiday M&M’s (reserve the 1/4 cup set aside earlier).
Using a 1/4-cup measure (or a large cookie scoop), portion the dough into balls and place them about 3 inches apart on the prepared baking sheet.
Bake for 10 minutes, then rotate the pan and bake an additional 2 minutes (12 minutes total). Remove the pan from the oven, press the reserved 1/4 cup M&M’s into the tops of the warm cookies, then return the pan to the oven and bake 2–3 more minutes, until the edges are set and the centers are still slightly soft.
Remove the baking sheet from the oven and let the cookies cool on the sheet for about 10 minutes (they will continue to firm up). Transfer cookies to a wire rack to cool completely.
Serve warm if desired, or store cooled cookies in an airtight container for up to 4 days.