We had once a bacon-chocolate milkshake at the Linkery which was absolutely outstanding. Unfortunately it was only a temporary item. Jay, any chance you could put it back on the menu when it gets warmer ?
Second the Beef n Bun recommendation. I also had a malted peanut butter milkshake at Ruby's the other day and it was smashing. Corvette also does good milkshakes if you can tolerate the environment. :)
I'm somewhat ashamed to admit it, but the chocolate malt at Carl's Jr is one of my guilty pleasures. Not a fan of anything else there, but when it comes to a shake, I'd say it stands up pretty well to any of the better, more expensive ones I've had elsewhere.