Mmm, yes. Less thick / cloying than egg nog, and a very efficient way to get three kinds of booze into your system at once. Recipe from a friend of mine:

1 cup milk
2 cups vanilla ice cream
1/2 cup bourbon
1/4 cup white rum
1 jigger dry brandy
nutmeg (do not skip this step!)

Mix all ingredients - except Nutmeg - in a blender for just 5 or 6 seconds (you want milkshake consistency); pour into chilled glasses; add a dash of nutmeg on top.

You can drink this stuff all day, or until you can't grip a glass anymore. Egg nog, not so much.