Not sure if you consider this a "shake" - but when I make them its pretty darn close to the chocolate soft serve at Wendy's
1 or 2 bananas (I peel and freeze mine before I use them)
1 TBSP of cocoa powder (for 2 bananas) (I sometimes use a packet of WW chocolate smoothie mix)
Sweetener if desired
Also, you can thin in out a bit by adding ice, milk or yogurt.