I have heard that they are delicious in Beaches and Cream in The Beach Club Resort - but I haven't tried here yet.
However, The shakes at The Sci-Fi Dine In Restaurant at Disney's MGM Studios are GREAT! I highly reccomend here - great food, great theming and great service.
I second Jules choice! Ghirardelli's in Disney Village Marketplace for shakes! I'm afraid I was a little disappointed at the shake I had in Beaches & Cream.