Since milkshakes come in many flavors, it depends on what you like. Generally milkshakes consist of milk, some fruit and ice. You can skip the ice if you're using already frozen fruit (works especially well with strawberries), no need to thaw it first, since the fruit is chopped up anyways. The industrial (and more unhealthy) variety may also include icecream.
My favorite selfmade milkshakes go like this: Peel a banana (be sure to remove the black part at the stem), put it in the cup (I'm using a
handheld blender). Add four ice cubes, about a teaspoon of liquid honey (not the crystallized stuff) and enough milk (about four times as much milk as fruit, depending on the consistency you like). Then blend it thoroughly (unless you like chunks). Another variety that I like has frozen strawberries instead of a banana, no extra ice and vanilla sugar instead of honey.
Some other things I've tried were kiwi (no good, goes brown and bitter when exposed to air quickly) and pineapple pieces from a can (works well, if you like the taste). Go experiment! :)