Not something I've indulged in meself. Here's an article all about them:
"So, what is this thing we call the Milkshake IPA? Interpretations vary, of course, but there are some common threads that we can knit together to come up with a description of the “style.”
The IPA moniker suggests that it shares some features of that style, which is certainly true in one way: Milkshake IPAs routinely feature prominent hops flavor and aroma, generally (though not necessarily exclusively) using American hops, and particularly the fruitier, tropical varieties. They are also, of course, hazy; some are flat-out opaque, exhibiting a solid wall of beer behind the glass. Along with this usually comes a thicker mouthfeel and more body than one might expect out of a traditional American IPA. The source of that extra body and a background sweetness that is relatively high compared to other IPAs is lactose (milk sugar), an unfermentable sugar common in the style. So, we have a thick, sweet beverage with milk sugar and high levels of hops flavor. Voilà. Milkshake IPA."