I don't drink a lot of milk, so when I do, it's always whole milk. I'll drink two-percent if it's the only kind available, but skim? I'd rather have none at all. Tons of people buy reduced fat milk because they're trying to eat healthier, but to me, the extra calories are totally worth it. And, contrary to popular belief, whole milk is actually better for you anyway.
Just like diet soda, the downsides of reducing the number of calories in milk outweigh the benefits. Studies have found that consuming full-fat dairy products correlates with a lower risk of excessive weight gain around the stomach.
There are a number of reasons for this. We tend to think that eating fat makes you fat, but that's not necessarily the case. Too much is obviously a bad thing, but you need a certain amount of fat, and not all fats are equal. Saturated and trans fats can cause weight gain, but monounsaturated and polyunsaturated fats are actually good for you.
According to nutritionist Walter Willett, the fatty acids in milk could have a positive effect on weight regulation, and whole milk has more of them. It also makes you feel more full, so you eat less overall. Low fat dairy products are more likely to have excess sugar, which is definitely worse for you than the extra calories from fat.
You can find more details along with links to relevant studies in Willett's interview with New Scientist.