I go to Shake Shack a fair amount, but I've never actually gotten a milkshake there, despite its name. Instead I go for the concretes. A concrete is custard (so frozen, but soft) with different toppings spun into it.
There are a lot of toppings to choose from, but I generally go with a Shack Attack, because it is chocolatiest: chocolate custard with fudge sauce, chocolate truffle cookie dough and Mast Brothers dark chocolate chunks, topped with chocolate sprinkles.
BOTTOM LINE: How can you possibly go wrong with this?