Best milkshakes I've had:

Chocolate brownie (I think) milkshake at a Haagen-Daaz near the main intersection in downtown Kyoto. I was in need of sugar and Japanese milk is thicker than what you find in the States (upwards of 4.5% milkfat in some brands) so coupled with the ice cream, it was heaven.

My consistent favorites are the cookies n' cream and Peachy Paterno milkshakes at the Penn State Creamery. I'm going to miss them now that I've moved to Texas. At least we have Blue Bell ice cream here, which helps!