In medium bowl, with mixer on low speed, beat ¼ cup cream, sugar and vanilla extract 2 minutes; increase speed to medium-high and beat 4 minutes or until medium-firm peaks form. Makes about ½ cup.
In blender, blend bourbon and remaining ¼ cup cream until combined; add ice cream and blend on high until smooth. Makes about 2 ¼ cups.
Drizzle 1 tablespoon caramel sauce down inside of 2 (10-ounce) glasses, rotating each glass as you drizzle. Pour milkshake into prepared glasses; garnish with whipped cream, pecans and remaining 1 tablespoon caramel sauce.