Line 4 large custard cups or individual ramekins (1- to 1 1/2- cup capacity) with a double layer of plastic wrap that's large enough to allow excess to hang over sides. Place cups on a baking sheet in freezer.
Warm vanilla ice cream in a microwave for 15 to 20 seconds, until just easy to scoop. Put vanilla ice cream in a food processor with banana and process until blended. Divide mixture evenly among cups. Place 2 chocolate cookies on top of each portion, breaking them in half to fit, if necessary; press cookies lightly into ice cream and then freeze for at least 30 minutes, until firm. Rinse out food processor.
Soften chocolate ice cream in same manner as vanilla ice cream, transfer to clean food processor with peanut butter and process until smooth. Spoon on top of cookie layer in each cup, smoothing tops. Cover with plastic wrap and freeze for at least 2 hours and up to 2 weeks.
When ready to serve, unmold ice cream onto dessert plates, peeling off plastic wrap. Top with chocolate sauce, whipped cream and peanuts, if desired.