In St. Louis, where I am, there's a frozen custard shake called the Concrete that pretty much sets the standard locally for how thick they are; the Concrete is handed to the customer upside down. The DQ Blizzard is modeled on it, and so are the shakes at Danny Meyer's Shake Shack, Meyer being raised here.
I personally prefer them to be thin enough to take through a straw, as one of our best burger joints serves it. I can't get the logic of them being so dense that you, in Joseph Wambaugh's memorable phrase, "have to suck your teeth out" to get them. Is this a localism? Please discuss.