I actually don't like them thicker like Helen does, but it's definately worth a try.
Also try whipping them up using a blender if you're not already, if you can get more air into them then they taste lighter and more pallatable. My favourite one is the chocolate one, I don't like strawberry at the best of times so I didn't even want to try it when the pharmacy gave me the option (It's synthetic anyway) but the vanilla and chocolate ones have real vanilla pods and cocoa beans in them, so have a bit more flavour to them I'd imagine. From these forums I've also learned you don't need to just have them with cold water either. Try them hot, freeze them to solids, cook them to stogy goop. It's just a matter of trial and error till you find something you really really like.