Dulce de Leche - Generally made from boiling milk and sugar or slowly cooking sweetened, condensed milk.

Churros- A doughy pastry that is fried and sprinkled with cinnamon or served with chocolate dipping sauce or honey. These are often compared to doughnuts as they are usually eaten in the morning.

Arroz con Leche - Rice cooked with milk and sugar, sometimes served with cinnamon and eaten warm.

These are just a sample of what Mexicans make to satisfy their sweet tooth. A better list of Mexican sweets and the recipes for them can be found here.