All this talk about cocktails and no one's fessed up as to which shaker they use. I personally use a Screwpull 20-oz stainless steel cocktail shaker. I've tried many cocktail shakers over the years, and one of my major complaints was that it was very difficult to twist open the top without some effort, and sometimes the contents would end up getting sprayed around the room. Unacceptable.
So, when I saw the Screwpull in a kitchen store in France (you can also get them in the US, via the link above) I knew I had to have it. It has three parts; the main one being the body, the middle one being the strainer, and the third part is the top lid. The strainer and the top lid fit the body without slipping off, but unlike other traditional shakers, they don't "snap" or "screw" in place. The parts fit together like three pieces of a puzzle without locking in place, so they come apart effortlessly. While grasping the body with your hand, you hold the strainer and the top in place with your index finger, and they will stay in place and not slip.