I had to google to figure out what you were talking about, I kept thinking it was heavy protein shakes.
My opinion is to save your money and invest in some dumbbells instead. Shaking a 2 1/2# weight isn't going to do anything to build muscle in your arms. I guarantee you that the chick in the video with the awesome arms didn't get them with Shake Weights! No doubt she did curls, pushups, pullups, dips, kickbacks, and extensions, with real weights.
It's another one for the Exercise Gimmick Hall of Fame, I'm afraid.