I average maybe a milk shake a month, but broccoli multiple times a week. And I'm on the "eat whatever the hell I want at all times" diet. Broccoli out-competes milkshakes for me. If I had to give up one or the other, I'd give up milkshakes.

Don't get me wrong, the sugar in a milkshake is delicious, but it's just not hearty and fulfilling like a good meal can be. Of course, this is well after I started cutting back on sugary drinks during meal times. Not for health reasons mind you - I realized it was messing with my appetite, which in turn was limiting my ability to fully enjoy the rest of my meal. That it's healthier for me is a nice bonus.