People, people, people! I'm shocked! Those of you who don't dunk must be doing it all wrong.
You have to choose both beverage and biscuit very carefully, considering how the drink will make the biscuit taste and, as Tory says...
Everybody knows you dip rich tea biscuits in tea.
Builders tea, mind, never your fancy Lady Grey or lapsang souchong. Those require an entirely different sort of biscuit, something more dainty like a thin lemony shortbread. I would be able to tell you more about this but I didn't get research funding for 2014/15, so you'll all have to wait until I do.
Coffee can take something much more dense, cookies, chocolate bourbons, chocolate digestives... regardless of the type of coffee (unless it's a shot of espresso as the cup is too small to get a biccie in)