1. I'm sure that culture/status/history of (especially) wine (but also whisk(e)ys and, increasingly beers) do play a significant role in the enjoyment thereof. This is plainly true if you look at wine bottle closures: even though a screwcap provides superior taste in many cases, a lot of people say they just prefer the ritual of uncorking.
2. Until we develop a drug that blocks the psychoactive effects of ethanol, I think it will be nigh impossible to convince you that wine is superior to milkshakes on taste alone in some cases. (Incidentally, teetotaler Penn Jillette agrees with you 100%: his quote is "wine will never taste as good as a Coke".)
3. That said, I could give you* a white wine and goat cheese pairing that I laugh at the ability of any milkshake to rival in sheer sensual pleasure.

*I don't mention it here only because it would take a bit of digging for me to find out what it was; upon request I will, though.