Put caramel and toasted chopped pecans on separate small, shallow plates. To coat glasses, dip half the rim of each glass first into the caramel and then into chopped pecans.
Combine rumchata, crème de cacao, and bourbon in a large cocktail shaker. Fill with ice and shake until cold, about 30 seconds. Pour into martini glasses and top with dollop of whipped cream, a whole pecan, and a sprinkle of cinnamon.