Preheat the oven to 350 degrees and line a baking sheet with parchment paper.
Make the caramel sauce by mixing the water and sugar in a small pot. Heat on medium-high heat until the mixture boils and reaches a dark amber color.
Remove the pot from heat and slowly mix in the cream. If it starts to crystalize, place it back on the heat until it returns to a liquid. Mix in the bourbon and leave to cool for several minutes; you don't want to pour the boiling mixture into the cookie dough.
Make the cookie dough by creaming together the butter and sugar until it's light and fluffy. Add the egg and mix until combined.
Add the caramel, vanilla, almond extract, bourbon, allspice, and cayenne pepper to the mixture.
Next, mix in the flour, baking powder, and salt and mix until just combined.
Cover and chill the dough in the fridge for at least 1 hour.
Once chilled, use a cookie scopp to scoop the mixture into 1 inch balls and place two-three inches apart on a baking sheet. Even after being chilled, they will still spread quite a bit so leave enough room between the cookies.
Bake the cookies for 10-13 minutes on the prepared baking sheet and set them aside to cool.
Notes
Pay close attention to the caramel. Caramel is really easy to make, but it does need to be watched like a hawk. Wait to add the cream and the bourbon until the sugar reaches a very deep amber color. But don't let it burn.
Have your cream and bourbon measured and ready to add to the melted sugar. Once you add the liquids, you need to stir the mixture constantly so that clumps don't form.
If the caramel is too runny, let it cool until suitably thick.
If the caramel is too thick, heat it up again on the stove until its pliable enough to be blended into the cookie dough.
Do not skip the chilling time. Because of the amount of caramel sauce in this recipe, the cookies can spread a lot in the oven. Chilling allows the caramel to thicken and bond with the flour.